Saturday, August 3, 2013

Unbiased Model Selection Using the Adjusted R-Squared

The coefficient of determination (R2), and its "adjusted" counterpart, really don't impress me much! I often tell students that this statistic is one of the last things I look at when appraising the results of estimating a regression model.

Previously, I've had a few things to say about this measure of goodness-of-fit  (e.g., here and here). In this post I want to say something positive, for once, about "adjusted" R2. Specifically, I'm going to talk about its use as a model-selection criterion.

This Job is Killing Me!

The Indeed website (available for a number of countries) is a well-known clearing house for jobs and job-seekers.Trolling for opportunities there earlier today, I decided to take a peek at trends in job postings relating to econometrics and the funeral business. (At my age, such associations come easily!)

So, based on data for just the U.S., here is what I found. First, I looked at the number of posted jobs (as a percentage of all postings). The trends since the beginning of 2011 are interesting!

Next, I looked at the % growth rates in the job postings since 2005:

Perhaps a cointegration analysis would be in order!

© 2013, David E. Giles