Range of R squared after combining two predictors
Question
An OLS regression of on has , and one of on has . If is the tightest interval that must contain the of the regression of on both and , what is ?
Short answer
. Adding a regressor can never lower (OLS may set its coefficient to zero), so the lower bound is . The two predictors can together explain exactly (e.g. with suitable dependence), so the upper bound is , giving .
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Open the worked solutionLessons behind this question
- Simple Linear Regression: OLS Estimators and Geometry
- Multiple Linear Regression
- Populations, Samples, and Sampling Distributions
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