Kurz-Kim, Jeong-Ryeol; Loretan, Mico - In: Journal of Econometrics 181 (2014) 1, pp. 15-24
We examine the asymptotic properties of the coefficient of determination, R2, in models with α-stable random variables. If the regressor and error term share the same index of stability α2, we show that the R2 statistic does not converge to a constant but has a nondegenerate distribution...