The Relationship of Corrected R Squared and Incremental T-Statistics.

by Joseph P. Newhouse

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The use of corrected [R] squared in incremental [t]-statistics as a criterion for stopping a stepwise regression program is questioned. This Note argues that such use is equivalent to including those variables whose incremental [t]-statistic is greater than one in absolute value; that is, including variables whose estimated coefficient exceeds the estimated standard error in absolute value. Thus there appears little or no need for regression packages to output corrected [R] squared. It is also stated that uncorrected [R] squared is a better estimator of the population squared multiple correlation coefficient. 4 pp.

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