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st: RE: R-squared in SUR (Seemingly-Unrelated Regressions)

From   Nick Cox <>
To   "''" <>
Subject   st: RE: R-squared in SUR (Seemingly-Unrelated Regressions)
Date   Thu, 14 Oct 2010 18:36:40 +0100

The manual entry for -sureg- (if that's what you are talking about) says this:

"The R-squared reported is the percent of variance explained by the predictors. It may be used for descriptive purposes, but R-squared is not a well-defined concept when GLS is used."

Fixing a dubious quantity is thus implied to be a dubious activity. 


Khoi Dinh To

I ran SUR (seemingly-unrelated regressions) in Stata.  I got R-squared's in the output.  Are these R-squared's already "adjusted"?  Or do I need to calculate adjusted R-squared's myself?

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