Hi everyone,
I would very much appreciate your help with my following question.
I am estimating a panel data model using both the Random Effects
Feasible Generalized Least Squares (REFGLS) and the Fixed Effects
Within (FE) estimators.
I know that the R- squared to be reported when using the FE estimator
is the R- squared (Within), but which one to report for the REFGLS ?
(In Stata output, I have three R-sqaured: overall, within & between).
I guess for the REFGLS, the overall R-squared is more likely to be the
correct one to be reported. Is that correct?.
Is there any text book where I can read about the formula for
calculating the R-squared for the REFGLS estimator? I want to know the
mathematical relationship between the formula for R-squared for the
REFGLS and that for the FE Within.
I would very much appreciate your suggestions,
Thank you so much & best regards,
Dahlia El-Hawary
PhD Candidate
Economics Department
George Washington University
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