Prove the result that the R2 associated with a restricted least squares estimator is never larger than

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Prove the result that the R2 associated with a restricted least squares estimator is never larger than that associated with the unrestricted least squares estimator. Conclude that imposing restrictions never improves the fit of the regression.

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Econometric Analysis

ISBN: 978-0130661890

5th Edition

Authors: William H. Greene

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