Abstract
The problems of hypothesis testing and interval estimation of the squared multiple correlation coefficient of a multivariate normal distribution are considered. It is shown that available one-sided tests are uniformly most powerful, and the one-sided confidence intervals are uniformly most accurate. An exact method of calculating sample size to carry out one-sided tests (null hypothesis may involve a nonzero value for the multiple correlation coefficient) to attain a specified power is given. Sample size calculation for computing confidence intervals for the squared multiple correlation coefficient with a specified expected width is also provided. Sample sizes for powers and confidence intervals are tabulated for a wide range of parameter configurations and dimensions. The results are illustrated using the empirical data from CitationTimm (1975) that related scores from the Peabody Picture Vocabulary Test to four proficiency measures.
ACKNOWLEDGMENT
We are grateful to the reviewers and the editor for providing some useful comments and suggestions. The detailed comments by the editor improved the presentation of an earlier version of the article.