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Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
Edition 3ISBN: 978-9352863501 Exercise 12
Show that the regression R 2 in the regression of Y on X is the squared value of the sample correlation between X and Y. That is, show that R 2 = r 2 XY
b. Show that the R 2 from the regression of Y on X is the same as the R 2 from the regression of X on Y.
c. Show that where r XY isthe sample correlation between X and Y , and s Y and s x are the sample standard deviations of X and Y.
b. Show that the R 2 from the regression of Y on X is the same as the R 2 from the regression of X on Y.
c. Show that where r XY isthe sample correlation between X and Y , and s Y and s x are the sample standard deviations of X and Y.
Explanation
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b) We need to show that
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Introduction to Econometrics 3rd Edition by James Stock, Mark Watson
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