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Sideshow Bob
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In bivariate linear regression is there a direct relationship between sample size $n$, coefficient of determination $r^2$ and $\sigma_\beta$ (the standard error of coefficient $\beta$)?

Assume data have been normalized so both target and predictor variable have $\sigma=1$.

Putting the question another way, does $\sigma_\beta$ tell me something different to $r^2$ or are they measures of the same thing? Or, is it possible to have a strong, certain but unreliable link between two variables (large $\beta$, small $\sigma_\beta$, but small $r^2$)?

(In multivariatemultiple regression this doesn't apply as even with high $r^2$, $\sigma_\beta$ can indicate uncertainty as to which of the multiple predictors is causing the response).

EDIT

Just got this out of my software (without standardized data):

regression coeff 0.023
stderr of coeff 0.0046
p=0.000002

n=131
multiple r2=0.17
adjusted r2=0.16

predictor std=22.5
target std=2.24

Standardized coefficient is presumably

$0.023*22.5/2.24 = 0.23$.

If standardized coefficient is the same as correlation, then

$r^2 = 0.23^2 = 0.053$

...not the same as the software gave. What am I doing wrong?

In bivariate linear regression is there a direct relationship between sample size $n$, coefficient of determination $r^2$ and $\sigma_\beta$ (the standard error of coefficient $\beta$)?

Assume data have been normalized so both target and predictor variable have $\sigma=1$.

Putting the question another way, does $\sigma_\beta$ tell me something different to $r^2$ or are they measures of the same thing? Or, is it possible to have a strong, certain but unreliable link between two variables (large $\beta$, small $\sigma_\beta$, but small $r^2$)?

(In multivariate regression this doesn't apply as even with high $r^2$, $\sigma_\beta$ can indicate uncertainty as to which of the multiple predictors is causing the response).

In bivariate linear regression is there a direct relationship between sample size $n$, coefficient of determination $r^2$ and $\sigma_\beta$ (the standard error of coefficient $\beta$)?

Assume data have been normalized so both target and predictor variable have $\sigma=1$.

Putting the question another way, does $\sigma_\beta$ tell me something different to $r^2$ or are they measures of the same thing? Or, is it possible to have a strong, certain but unreliable link between two variables (large $\beta$, small $\sigma_\beta$, but small $r^2$)?

(In multiple regression this doesn't apply as even with high $r^2$, $\sigma_\beta$ can indicate uncertainty as to which of the multiple predictors is causing the response).

EDIT

Just got this out of my software (without standardized data):

regression coeff 0.023
stderr of coeff 0.0046
p=0.000002

n=131
multiple r2=0.17
adjusted r2=0.16

predictor std=22.5
target std=2.24

Standardized coefficient is presumably

$0.023*22.5/2.24 = 0.23$.

If standardized coefficient is the same as correlation, then

$r^2 = 0.23^2 = 0.053$

...not the same as the software gave. What am I doing wrong?

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Sideshow Bob
  • 1.5k
  • 2
  • 13
  • 26

In bivariate linear regression is there a direct relationship between sample size $n$, correlation coefficient of determination $r^2$ and $\sigma_\beta$ (the standard error of coefficient $\beta$)?

Assume data have been normalized so both target and predictor variable have $\sigma=1$.

Putting the question another way, does $\sigma_\beta$ tell me something different to $r^2$ or are they measures of the same thing? Or, is it possible to have a strong, certain but unreliable link between two variables (large $\beta$, small $\sigma_\beta$, but small $r^2$)?

(In multivariate regression this doesn't apply as even with high $r^2$, $\sigma_\beta$ can indicate uncertainty as to which of the multiple predictors is causing the response).

In bivariate linear regression is there a direct relationship between sample size $n$, correlation coefficient $r^2$ and $\sigma_\beta$ (the standard error of coefficient $\beta$)?

Assume data have been normalized so both target and predictor variable have $\sigma=1$.

Putting the question another way, does $\sigma_\beta$ tell me something different to $r^2$ or are they measures of the same thing? Or, is it possible to have a strong, certain but unreliable link between two variables (large $\beta$, small $\sigma_\beta$, but small $r^2$)?

(In multivariate regression this doesn't apply as even with high $r^2$, $\sigma_\beta$ can indicate uncertainty as to which of the multiple predictors is causing the response).

In bivariate linear regression is there a direct relationship between sample size $n$, coefficient of determination $r^2$ and $\sigma_\beta$ (the standard error of coefficient $\beta$)?

Assume data have been normalized so both target and predictor variable have $\sigma=1$.

Putting the question another way, does $\sigma_\beta$ tell me something different to $r^2$ or are they measures of the same thing? Or, is it possible to have a strong, certain but unreliable link between two variables (large $\beta$, small $\sigma_\beta$, but small $r^2$)?

(In multivariate regression this doesn't apply as even with high $r^2$, $\sigma_\beta$ can indicate uncertainty as to which of the multiple predictors is causing the response).

Source Link
Sideshow Bob
  • 1.5k
  • 2
  • 13
  • 26

In bivariate linear regression is there a direct relationship between $n$, $r^2$ and coefficient error?

In bivariate linear regression is there a direct relationship between sample size $n$, correlation coefficient $r^2$ and $\sigma_\beta$ (the standard error of coefficient $\beta$)?

Assume data have been normalized so both target and predictor variable have $\sigma=1$.

Putting the question another way, does $\sigma_\beta$ tell me something different to $r^2$ or are they measures of the same thing? Or, is it possible to have a strong, certain but unreliable link between two variables (large $\beta$, small $\sigma_\beta$, but small $r^2$)?

(In multivariate regression this doesn't apply as even with high $r^2$, $\sigma_\beta$ can indicate uncertainty as to which of the multiple predictors is causing the response).