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.
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Article provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 9 (1993) Issue (Month): 03 (June) Pages: 504-515 Download reference. The following formats are available: HTML
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