Introduction to Econometrics 3rd Edition by James Stock, Mark Watson

تمرين 12

Show that the regression R 2 in the regression of Y on X is the squared value of the sample correlation between X and Y. That is, show that R 2 = r 2 XY
b. Show that the R 2 from the regression of Y on X is the same as the R 2 from the regression of X on Y.
c. Show that where r XY isthe sample correlation between X and Y , and s Y and s x are the sample standard deviations of X and Y.