Multiple linear regression linear relationship or not

Paola Mayer

Paola Mayer

Answered question

2022-10-14

Multiple linear regression linear relationship or not
How should a multiple linear regression be interpreted that has statistically significant predictors, but an R Square value of 0.004? Does that mean that there is a significant linear relationship (because statistically significant predictors), even though there is close to no linear relationship ( R 2 of 0.004 indicates close to no linear relationship).

Answer & Explanation

Carly Yang

Carly Yang

Beginner2022-10-15Added 19 answers

Recall that R 2 = 1 σ ^ ϵ | X 2 σ 2 ^ Y , namely if you have significant linear relationship between y and your ( x 1 , . . , x p ), where the variance of x k is much smaller than that of ϵ, (i.e., σ x k 2 << σ ϵ 2 ), you can get significant model with very low R 2 . Take for example,
y i = β 0 + x 1 i + x 2 i + ϵ i ,
where n = 10 , 000 and σ ϵ 2 = 200 2 where σ x k 2 = 2. In this case you have enough data points to get significance (convergence), however most of the conditional variability of y is still "unexplained".

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