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Falcon · 2020年09月19日

问一道题：NO.PZ201709270100000309

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

问题如下：

9.The best rationale for Quinni’s caution about the three-variable model is that the:

选项：

A.

dependent variable is defined differently.

B.

sample sizes are different in the two models.

C.

dividend growth rate is positively correlated with the other independent variables.

解释：

B is correct. If we use adjusted R2 to compare regression models, it is important that the dependent variable be defined the same way in both models and that the sample sizes used to estimate the models are the same. Varden’s first model was based on 40 observations, whereas the second model was based on 500.

请问当样本总数n不变时，增加自变量的个数，k增加，那么adjusted R2 一定变小吗？




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1 个答案

星星_品职助教 · 2020年09月19日

同学你好，

增加k的话adjusted R-squared的变化是不确定的，如果新增的自变量对于Y影响很大，那么adjusted R-squared会增加；但如果新增的自变量没什么用处，那么adjusted R-squared会减小。

但这道题和这个结论没关系，这道题讲的是如果要比较两个方程的adjusted R-squared的话，需要满足两个前提，第一是Y的定义要相同，第二是sample size要一样。这道题的sample size不一样，所以不能做比较。

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