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st: ECM with quarterly seasonally adjusted data: interpretation of R2 value?


From   "Sabina Kummer-Noormamode" <sabina.noo@postmail.ch>
To   statalist@hsphsun2.harvard.edu
Subject   st: ECM with quarterly seasonally adjusted data: interpretation of R2 value?
Date   Wed, 2 Oct 2013 21:59:50 +0200 (CEST)

Dear all,

I estimated an error correction model with seasonally adjusted quarterly data and 79 observations. The coefficient of the error correction term is significantly different from zero and negative, which validates the model. My question relies to the R2 value, which is 0.54. I do not know how to evaluate this value, whether it is acceptable or not.
I’ve heard that R2 should be higher than 0.8 in order to be considered as good but I also heard that it depends on the transformations applied to the raw series. This is not clear to me. In my case, the series are in log, first difference and seasonally adjusted. Given this, how must a R2 value of 0.54 must be interpreted?

I kindly thank you for your help.

Sabina

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