The standard error of the regression (S) and R-squared are two key goodness-of-fit measures for

regression analysis. But according to me the often overlooked standard error of the regression can
tell us things that the high R-squared simply can’t.

Let me explain why I think so.

1. The standard error of the regression provides the absolute measure of the typical distance
that the data points fall from the regression line. S is in the units of the dependent
variable.
R-squared provides the relative measure of the percentage of the dependent variable
variance that the model explains.

2. The standard error of the regression has several advantages. S tells us how precise the
model’s predictions are using the units of the dependent variable. This statistic indicates
how far the data points are from the regression line on average. We usually prefer lower
values of S because it signifies that the distances between the data points and the fitted
values are smaller. S is also valid for both linear and nonlinear regression models.
High R-squared values indicate that the data points are closer to the fitted values. But they
don’t inform us how far the data points are from the regression line. Moreover R-squared
is valid for only linear models, so we can't use it to compare a linear model to a nonlinear
model.

3. Finally , even if R-squared value is low but we have statistically significant predictors , we
may still draw important conclusions about how changes in the predictor values are
associated with changes in the response value.

I offer my sincere thanks to Jim Frost who helped me come to the above specific conclusion.