Thursday, May 15, 2014

More on the Properties of the "Adjusted" Coefficient of Determination

A while back I wrote about the fact that R2 (the coefficient of determination for a linear regression model) is a sample statistic, and as such it has a sampling distribution. In that post and in follow-up posts here and here, I discussed some of the properties of that sampling distribution, and about the mean and variance of R2 in certain circumstances.

Let's take that discussion a step further by comparing the MSE's of R2 and its "adjusted" counterpart.