Phil Schrodt and a co-conspirator published an article on the power of R2 in such circumstances. Deep into the last century. We've been using it in scavenger hunts ever since.
Michael D. Ward, Professor of Political Science
University of Washington, Seattle, WA, 98195-3530, USA
direct: 206.616.3583 (email is better)
messages: 206.543.2780; fax: 206.685.2146
web site: faculty.washington.edu/mdw
On Thu, 28 May 2009, Helen Brown wrote:
> Hello,
>
> I am a bit puzzled by an extremely low Rsq (0.06) for an OLS regression in
> which the dependent variable is first-differenced. The same regression run
> for the depedent variable in levels yields an Rsq of 0.54, but it's the
> former I care about.
> I'd appreciate it if somebody would let me know if there theoretical or
> algebraic reasons for getting such a low Rsq when the dv is
> first-differenced. If there aren't, I guess I should be concerned that sth.
> is wrong with my specification.
>
>
> Regards,
> Helen A Brown
>
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