Introductory Econometrics for Finance Chris Brooks ch4精品管理文档.pptVIP

Introductory Econometrics for Finance Copyright 2002, Chris Brooks Chapter 4 Further issues with the classical linear regression model Goodness of Fit Statistics We would like some measure of how well our regression model actually fits the data. We have goodness of fit statistics to test this: i.e. how well the sample regression function (srf) fits the data. The most common goodness of fit statistic is known as R2. One way to define R2 is to say that it is the square of the correlation coefficient between y and . For another explanation, recall that what we are interested in doing is e