3
$\begingroup$

Possibly quite a basic question: I am unsure of the relationship between the confidence interval for a regression coefficient (b) and R^2. That is, is the width of the confidence interval directly related to R^2?

Regards

$\endgroup$
  • $\begingroup$ This is an interesting question. Do you have any qualifiers? E.g. is the null hypothesis true? How much noise is in the data? etc etc $\endgroup$ – Demetri Pananos Feb 6 '19 at 4:33
  • $\begingroup$ @DemetriPananos it looks as if the (admittedly fascinating) question is a more general one. It does seem plausible that there is some formal relationship between these two things. $\endgroup$ – James Phillips Feb 6 '19 at 12:42
  • 1
    $\begingroup$ Let's take the classic linear regression model $y_i = b x_i + \epsilon_i$ with spherical errors so that $ \operatorname{Var}(\epsilon) = \sigma^2 I$. Taking $X$ as given, a higher variance $\sigma^2$ of the error term will lower $R^2$ and increase your standard errors. $\endgroup$ – Matthew Gunn Feb 6 '19 at 16:55
  • 1
    $\begingroup$ Considering that the regression coefficient is unitless and the units of the coefficient are (units of y) divided by (units of x), there cannot possibly be any universal relationship. At a minimum you will need to know something about the dispersion of the $x$ data. When there is more than one explanatory variable (including a constant!), all bets are off because its relationship with $x$ can play an important role too. $\endgroup$ – whuber Feb 6 '19 at 21:45
  • $\begingroup$ Hi folks, thanks all for your responses. I was initially thinking with respect to simple linear regression (a single predictor). The question could be extended to ask how confidence intervals for each b map to partial eta-squared though for multiple predictors. My simple intuition was that there should be some degree of correspondence between the two. That is, narrower confidence intervals corresponding to higher R^2. Again, just my intuition though, I've not sat down to work through any of the maths. How might qualifies like those you've listed affect the answer, @Demetri Pananos? $\endgroup$ – shrub Feb 7 '19 at 5:19

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.