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Range of R squared after combining two predictors

Question

An OLS regression of yy on X1X_1 has R2=0.15R^2=0.15, and one of yy on X2X_2 has R2=0.2R^2=0.2. If [min⁡,max⁡][\min,\max] is the tightest interval that must contain the R2R^2 of the regression of yy on both X1X_1 and X2X_2, what is max⁡/min⁡\max/\min?

Short answer

55. Adding a regressor can never lower R2R^2 (OLS may set its coefficient to zero), so the lower bound is 0.20.2. The two predictors can together explain yy exactly (e.g. y=X1+X2y=X_1+X_2 with suitable dependence), so the upper bound is 11, giving 1/0.2=51/0.2=5.

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