R and adjusted R square decrease when I add a variable

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mikenike
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Joined: Thu Mar 03, 2016 7:35 am

R and adjusted R square decrease when I add a variable

Postby mikenike » Tue Apr 12, 2016 9:17 am

Panel data, EGLS estimation. I add a variable both R and adj. R decrease. I run an omitted variable test, the variable is significant. The number of obs does not change (8 periods, 28 consecrations, 140 obs). Any idea why is this happening? Thanks,
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