A Note on the Maximization of
Y Haitovsky�- The American Statistician, 1969 - Taylor & Francis
Y Haitovsky
The American Statistician, 1969•Taylor & FrancisThe maximization of R2 (corrected multiple correlation coefficient) as the statistical criterion
of choosing among various regression specifications is now in common use by
econometricians, yet there are many practitioners who would arrive at the maximum R2 by
trial and error, trying all possible permutations of the hypothesized explanatory variables.
The more experienced econometricians are aware of the fact that the maximization of Rz
(which is equivalent to the minimization of the estimated regression variances s:. 1... p) is�…
of choosing among various regression specifications is now in common use by
econometricians, yet there are many practitioners who would arrive at the maximum R2 by
trial and error, trying all possible permutations of the hypothesized explanatory variables.
The more experienced econometricians are aware of the fact that the maximization of Rz
(which is equivalent to the minimization of the estimated regression variances s:. 1... p) is�…
The maximization of R2 (corrected multiple correlation coefficient) as the statistical criterion of choosing among various regression specifications is now in common use by econometricians, yet there are many practitioners who would arrive at the maximum R2 by trial and error, trying all possible permutations of the hypothesized explanatory variables. The more experienced econometricians are aware of the fact that the maximization of Rz (which is equivalent to the minimization of the estimated regression variances s:. 1... p) is achieved by retaining all regression coefficients whose associated t-statistics are larger than unity and discarding all which are not. Only a few appear to know whether or not this relationship between t and R2 ie exact, and I am not aware of any proof in print.
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