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Prove the result that the R 2 associated with a restricted least squares estimator is never larger than that associated

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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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The result follows immediately from the r…View the full answer


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Econometric Analysis

Econometric Analysis

ISBN: 978-0131395381

7th edition

Authors: William H. Greene

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Question Details
Chapter # 5
Section: Exercise Questions
Problem: 6
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Question Posted: November 15, 2018 06:46:05
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