+ Reply to Thread
Results 1 to 3 of 3

Thread: Residual variance of OLS regression from R-Squared?

  1. #1
    Points: 3,910, Level: 39
    Level completed: 74%, Points required for next Level: 40

    Posts
    13
    Thanks
    1
    Thanked 0 Times in 0 Posts

    Residual variance of OLS regression from R-Squared?




    Can residual variance of OLS regression be derived from R-Squared, and if so, how?

  2. #2
    Cookie Scientist
    Points: 13,431, Level: 75
    Level completed: 46%, Points required for next Level: 219
    Jake's Avatar
    Location
    Austin, TX
    Posts
    1,293
    Thanks
    66
    Thanked 584 Times in 438 Posts

    Re: Residual variance of OLS regression from R-Squared?

    Yes, as long as you know the total variance of Y. The relationship is \text{var}(e)=(1-R^2)\text{var}(y)
    “In God we trust. All others must bring data.”
    ~W. Edwards Deming

  3. #3
    Super Moderator
    Points: 13,151, Level: 74
    Level completed: 76%, Points required for next Level: 99
    Dragan's Avatar
    Location
    Illinois, US
    Posts
    2,014
    Thanks
    0
    Thanked 223 Times in 192 Posts

    Re: Residual variance of OLS regression from R-Squared?


    Another possibility would be just knowing what the F statistic is for the model and its associated degrees of freedom - it wouldn't take the knowledge of either the R^2 or the variance of Y.

+ Reply to Thread

           




Tags for this Thread

Posting Permissions

  • You may not post new threads
  • You may not post replies
  • You may not post attachments
  • You may not edit your posts






Advertise on Talk Stats