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re: st: list x matrix

From   Kit Baum <>
Subject   re: st: list x matrix
Date   Sun, 28 Mar 2010 14:53:03 -0400

The problem was as follows.

The regression is y = x b + e. (1)

However, to estimate it (b/c of a variety of issues such
autocorrelation, system of equation with correlated errors), the model
that I end up estimating is

yt = xt b + z c + v, (2)

where yt is a transformation of y, xt is a transformation of x, and z
are variables from the other regressions.

So, what I need to do is to get the estimates of b from (2) and plug
back into (1) to compute my R^2.

An R^2 measure for any model can almost always be computed from the simple correlation between Y and Yhat, so if you can construct a predicted value from the equation you estimate "if e(sample)" for yt, and apply the inverse transformation that gets you back to yhat, just compute the square of that correlation.

Kit Baum

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