R (Correlation Coefficient)

A measure (ranging in value from -1 to 1) of the association between a dependent variable and one or more independent variables. If one variable's values are higher than its average value when another variable's values are higher than its average value, their correlation will be positive. By contrast, if one variable's values are lower than its average value when another variable's values are higher than its average value, their correlation will be negative. A correlation coefficient is not necessarily a measure of causality, but it does indicate the strength of a relationship. A correlation coefficient of 1 implies that the variables move perfectly in lockstep; a correlation coefficient of -1 implies that the variables move inversely in lockstep; a correlation coefficient of 0 implies that the variables, as calibrated, are uncorrelated. See Cointegration, Covariance.

Glossary * R