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


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
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 
n.j.cox@durham.ac.uk 

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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