In multiple regression,the R2 increases whenever a regressor is
A)added unless the coefficient on the added regressor is exactly zero.
B)added.
C)added unless there is heterosckedasticity.
D)greater than 1.96 in absolute value.

Question

Quizplus · Accepted Answer

Adding a regressor to a multiple regression model will always increase the R2 unless the coefficient on the added regressor is exactly zero. This is because the R2 is a measure of the proportion of variance in the dependent variable that is explained by the independent variables, and adding a new independent variable will always increase the amount of variance that is explained.

In Multiple Regression,the R2 Increases Whenever a Regressor Is