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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 11:59:05 -0400

Thanks, Kit. But why do you square the correlation?

Danielle

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


---------- Original Message -----------
From: Kit Baum <baum@bc.edu>
To: statalist@hsphsun2.harvard.edu
Sent: Thu, 15 Jun 2006 11:47:45 -0400
Subject: st: R-squared with ARIMA

> A measure of R^2 that does not depend on the method of computation 
> is  the squared correlation between observed and in-sample forecast  
> values. Indeed, the forecast values could come from a subjective 
>  process or a crystal ball. But if you can generate in-sample  
> forecasts from your models, you can always compute this measure.
> 
> Kit Baum, Boston College Economics
> http://ideas.repec.org/e/pba1.html

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