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Re: st: R-squared with ARIMA


From   "Danielle H. Ferry" <dferry@nber.org>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: R-squared with ARIMA
Date   Thu, 15 Jun 2006 11:18:26 -0400

Slight correction to my previous post. (There is so much confusion with RSS,
TSS, ESS terminology, as different disciplines use different
names/abbreviations for the same things.) What I meant to say is that w/ OLS,
R-squared = (TSS - RSS)/TSS, as defined below, is equivalent to (sum of
squares of yhat-ybar) / TSS. Are these 2 formulas equivalent w/ MLE?

--
National Bureau of Economic Research <http://www.nber.org>


---------- Original Message -----------
From: "Danielle H. Ferry" <dferry@nber.org>
To: statalist@hsphsun2.harvard.edu
Sent: Thu, 15 Jun 2006 11:12:40 -0400
Subject: st: R-squared with ARIMA

> Dear Statalisters,
> 
> This is less a Stata question than an econometric one, but perhaps 
> someone out there will not mind answering anyway...
> 
> I am estimating a series of models using -arima- (ar(1) & arma(1,1)
> ). I will be presenting the results to a group w/ very little, if 
> any, econometric knowledge, and would like to compute the R-squared, 
> since the interpretation of BIC is not easy for the general public.
> 
> I know that the R-squared with MLE is not valid for comparing models,
>  but is it ok to use it as a general measure of goodness of fit of 
> individual models?
> 
> Assuming the answer to this is yes... I can easily compute R-squared =
> (TSS-RSS)/TSS, where TSS = sum of squares of y-ybar and RSS = sum of 
> squares of y-yhat. Sometimes this formula is presented as R-squared 
> = RSS/TSS. I know that these 2 formulas are equivalent w/ OLS. BUT,
>  experimentation has shown me that they are not equivalent w/ -arima-
> . Can someone verify this?
> 
> Thank you.
> 
> Danielle Ferry
> 
> --
> National Bureau of Economic Research <http://www.nber.org>
> 
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------- End of Original Message -------


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