R-Squared Invariance Under Transformations
Consider the simple linear regression $Y = \alpha + \beta X + \epsilon$.
(a) If you multiply all $X$ values by a constant $c \neq 0$, what happens to $R^2$?
(b) If you add a constant $k$ to all $Y$ values, what happens to $R^2$?
(c) If you add a new predictor $Z$ that is perfectly collinear with $X$ (i.e., $Z = aX + b$ for constants $a, b$), can $R^2$ increase?
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