A Note on the Use of the Coefficient of Determination
指出，当随机项的协方差矩阵不是标量且使用普通最小二乘法时，决定系数R²作为拟合优度统计量没有用处；对于广义最小二乘法，R²定义不明确，计算机程序输出的R²不能解释为OLS的R²。
It is argued in this note that the coefficient of determination (R2) is not useful as a goodness-of-fit statistic if the covariance matrix of the random terms is not scalar and Ordinary Least Squares (OLS) estimation is used. It is further pointed out that the R2 is not well defined for the Generalized Least Squares (GLS) estimation procedure. GLS estimates are usually obtained by first transforming the original variables and then using OLS on the transformed variables. When this procedure is used, the R2 produced by computer programs is not defined and cannot be interpreted as the OLS R2.