Holger von Jouanne-Diedrich explains a common quality metric for regression analyses:
A high
can make a regression model look impressively accurate — but this number can be deceptive. If you want to understand why a high
Click through for that explanation. This post does a fantastic job of explaining the technical reasons why a high R^2 might not be indicative of a good model specification. But I’d add one other piece to the puzzle: what constitutes a high R^2 will depend very much on the domain. For example, if you are performing a regression of some process in physics, an R^2 of 0.90 is probably so low as to indicate you’ve made a horrible mistake somewhere to have a number so low.
By contrast, an R^2 of 0.90 in the context of a social studies analysis would get you laughed out of the room for obviously faking the data or misunderstanding the specification to get a number that high.