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Questions › JNU › JNU SIS 2021 › Q5
0 marksEconometrics › Goodness of fit and model selection › Adjusted R-squared and model comparisonModerateabout 2 min

JNU SIS 2021 Question 5: Goodness of fit and model selection

Consider the following two regression models: Model 1: yi=α0+α1x1i+uiy_i = \alpha_0 + \alpha_1 x_{1i} + u_iyi​=α0​+α1​x1i​+ui​ Model 2: yi=β0+β1x1i+β2x2i+uiy_i = \beta_0 + \beta_1 x_{1i} + \beta_2 x_{2i} + u_iyi​=β0​+β1​x1i​+β2​x2i​+ui​ Which of the following statements are true?
A. Model 2 must have an R2R^2R2 at least as high as that of model 1
B. Model 2 must have an adjusted R2R^2R2 at least as high as that of model 1
C. Models 1 and 2 would have identical values of R2R^2R2 if the estimated coefficient on β2\beta_2β2​ is zero
D. Models 1 and 2 would have identical values of adjusted R2R^2R2 if the estimated coefficient on β2\beta_2β2​ is zero Choose the correct answer from the options given below:

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Plain-text version

Consider the following two regression models: Model 1: yᵢ = α₀ + α₁ x₁ᵢ + uᵢ Model 2: yᵢ = β₀ + β₁ x₁ᵢ + β₂ x₂ᵢ + uᵢ Which of the following statements are true? A. Model 2 must have an R² at least as high as that of model 1 B. Model 2 must have an adjusted R² at least as high as that of model 1 C. Models 1 and 2 would have identical values of R² if the estimated coefficient on β₂ is zero D. Models 1 and 2 would have identical values of adjusted R² if the estimated coefficient on β₂ is zero Choose the correct answer from the options given below: (A) A, B, C and D (B) A, B and C only (C) A and C only (D) B and D only

Also written as: Consider the following two regression models: Model 1: y_i = alpha_0 + alpha_1 x_(1i) + u_i Model 2: y_i = beta_0 + beta_1 x_(1i) + beta_2 x_(2i) + u_i Which of the following statements are true? A. Model 2 must have an R^2 at least as high as that of model 1 B. Model 2 must have an adjusted R^2 at least as high as that of model 1 C. Models 1 and 2 would have identical values of R^2 if the estimated coefficient on beta_2 is zero D. Models 1 and 2 would have identical values of adjusted R^2 if the estimated coefficient on beta_2 is zero Choose the correct answer from the options given below:

Goodness of fit and model selection has come up 27 times in 6 exams since 2009.

What this question tests

This question is on Adjusted R-squared and model comparison, part of Goodness of fit and model selection in Econometrics.

Penalising extra regressors and when R-squared can be compared across models.

TestStop has 7 past-paper questions on this subtopic; the nearest in year are below.

  • IIT JAM 2022 · Q27Which of the following is NOT correct regarding R-squared (R²) and adjusted R-squared (R̄²)?
Practise Goodness of fit and model selectionMore on Adjusted R-squared and model comparison

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