[R-SIG-Finance] R-squared or t-stat?

[Patrick Burns]

I'm not so sure that your analysis of AIC and BIC
is correct.  But in any case I would suggest cross
validation, which is discussed in

http://www.burns-stat.com/pages/Tutor/bootstrap_resampling.html

If that is too slow in general for your purpose (you'd
need to be in a big hurry, I think), then you could
experiment to see which criterion tended to agree best
with cross validation.

Patrick Burns
patrick at burns-stat.com
+44 (0)20 8525 0696
http://www.burns-stat.com
(home of S Poetry and "A Guide for the Unwilling S User")

Nicolas Mougeot wrote:

>Hi,
>
>let us assume that you want to regress Y on either X and Z or W, ie you 
>hesitate between 1 bivariate model and a univariate one. As W is different 
>from X and Z, usual criterion such as AIC or BIC do not work. 
>if you had to quickly choose between the two models, would you rely more 
>on the R-squared or on the t-stat?
>my issue is that model with X and Z provide a higher adjusted R-squared 
>but low and non significant t-stat while W yields a significant t-stat but 
>a lower R-squared
>
>Kind regards,
>
>Nicolas
>
>
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