THE RELATIONSHIP OF CORRECTED R SQUARED AND INCREMENTAL T-STATISTICS,

The purpose of this note is to prove a result, which, although known in oral traditions, is not demonstrated in the econometric literature so far as the author knows. The result is that the addition of a variable in a stepwise linear regression raises, leaves unchanged, or lowers the corrected R squared as the incremental t-statistic is greater than, equal to, or less than one. Author