On Small Sample Properties of R2 in a Linear Regression Model with Multivariate t Errors and Proxy Variables
研究了当使用代理变量替代不可观测回归变量时，线性回归模型中决定系数R²在小样本下的性质，发现若不可观测变量重要，调整后的R²在偏差和均方误差上比未调整的更不可靠。
In this paper we consider the small sample properties of the coefficient of determination in a linear regression model with multivariate t errors when proxy variables are used instead of unobservable regressors. The results show that if the unobservable variable is an important variable, the adjusted coefficient of determination can be more unreliable in small samples than the unadjusted coefficient of determination from both viewpoints of the bias and the MSE.