## R squared and goodness of fit in linear regression

I've been teaching a modelling course recently, and have been reading and thinking about the notion of goodness of fit. R squared, the proportion of variation in the outcome Y, explained by the covariates X, is commonly described as a measure of goodness of fit. This of course seems very reasonable, since R squared measures how close the observed Y values are to the predicted (fitted) values from the model.

## R squared and adjusted R squared

One quantity people often report when fitting linear regression models is the R squared value. This measures what proportion of the variation in the outcome Y can be explained by the covariates/predictors. If R squared is close to 1 (unusual in my line of work), it means that the covariates can jointly explain the variation in the outcome Y. This means Y can be accurately predicted (in some sense) using the covariates. Conversely, a low R squared means Y is poorly predicted by the covariates. Of course, an effect can be substantively important but not necessarily explain a large amount of variance - blood pressure affects the risk of cardiovascular disease, but it is not a strong enough predictor to explain a large amount of variation in outcomes. Put another way, knowing someone's blood pressure can't tell you with much certainty whether a particular individual will suffer from cardiovascular disease.

## The robust sandwich variance estimator for linear regression (theory)

In a previous post we looked at the properties of the ordinary least squares linear regression estimator when the covariates, as well as the outcome, are considered as random variables. In this post we'll look at the theory sandwich (sometimes called robust) variance estimator for linear regression. See this post for details on how to use the sandwich variance estimator in R.

## The t-test and robustness to non-normality

The t-test is one of the most commonly used tests in statistics. The two-sample t-test allows us to test the null hypothesis that the population means of two groups are equal, based on samples from each of the two groups. In its simplest form, it assumes that in the population, the variable/quantity of interest X follows a normal distribution $N(\mu_{1},\sigma^{2})$ in the first group and is $N(\mu_{2},\sigma^{2})$ in the second group. That is, the variance is assumed to be the same in both groups, and the variable is normally distributed around the group mean. The null hypothesis is then that $\mu_{1}=\mu_{2}$.