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# RE: st: list x matrix

 From "Nick Cox" To Subject RE: st: list x matrix Date Mon, 29 Mar 2010 12:29:41 +0100

```The approach that Kit recommends is spelled out at greater length in

FAQ     . . . . . . . . . . . . . . . . . . . . . . . Do-it-yourself
R-squared
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  N.
J. Cox
9/03    How can I get an R-squared value when a Stata command
does not supply one?
http://www.stata.com/support/faqs/stat/rsquared.html

The Statalist FAQ does draw attention to the FAQs as a way of answering
many questions. -search- does search the FAQs as well.

Nick
n.j.cox@durham.ac.uk

Kit Baum replied to Richard Boylan

Richard Boylan
==============

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.

Kit Baum
========

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.

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```

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