Why does xtgls not report an R-squared statistic?
R-squared after xtgls
Allen McDowell, StataCorp
The R-squared statistic is an ordinary least squares (OLS) concept that is
useful because of the unique way it breaks down the total sum of squares
into the sum of the model sum of squares and the residual sum of squares.
When you estimate the model’s parameters using generalized least
squares (GLS), the total sum of squares cannot be broken down in the the
same way, making the R-squared statistic less useful as a diagnostic tool
for GLS regressions. Specifically, an R-squared statistic computed from GLS
sums of squares need not be bounded between zero and one and does not
represent the percentage of total variation in the dependent variable that
is accounted for by the model. Also, eliminating or adding variables in a
model does not always increase or decrease the computed R-squared value.
Stata for Windows
Stata for Unix
Stata for Mac