1 Goodness of Fit Statistics We would like some measure of how well our regression model actually fits the data.* We have goodness of fit statistics to test this: i.e. how well the sample regression function (srf) fits the data. The most common goodness of fit statistic is known as R2. One
1 Regression Regression is probably the single most important tool at the econometrician's disposal. What is regression analysis? It is concerned with describing and evaluating the relationship between a given variable (usually called the dependent variable) and one or more other