On sample size and precision in ordinary least squares
AbstractAn expression relating estimation precision in the classical linear model to the number of parameters k and the sample size n is illustrated. A rule of thumb for the sample size is suggested.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Journal of Applied Statistics.
Volume (Year): 28 (2001)
Issue (Month): 5 ()
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- Montgomery, David B & Morrison, Donald G, 1973. "A Note on Adjusting R2," Journal of Finance, American Finance Association, vol. 28(4), pages 1009-13, September.
- Ramsey, James B. & Montenegro, Alvaro, 1992. "Identification and estimation of noninvertible non-Gaussian MA(q) processes," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 301-320.
- Koenker, Roger, 1988. "Asymptotic Theory and Econometric Practice," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(2), pages 139-47, April.
- Peter Kennedy, 2003. "A Guide to Econometrics, 5th Edition," MIT Press Books, The MIT Press, edition 5, volume 1, number 026261183x, December.
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