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st: RE: R-squared in SUR (Seemingly-Unrelated Regressions)
From
Nick Cox <[email protected]>
To
"'[email protected]'" <[email protected]>
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.
Nick
[email protected]
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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