R squared in Restricted OLS
Posted: Mon Dec 28, 2015 5:47 pm
Dear Tom,
I have a restricted OLS. How can I calculated centered R^2?
linreg(robusterrors) DEPENDENT sambeg samend residMod coefMod
# constant YOY%_SP500{1} BAA{2} YOY%_OIL{2} YOY%_CPI TR10Y{1} YOY%_HPI{1} TR3M YOY%_CRE UR
restrict(create) 3 residModb
#4
#1 beta3
#6
#1 beta5
#8
#1 beta7
dis 'Centered R^2 = ' %rsquared
I think that the value I get is not for the restricted OLS but for ordinary OLS.
Thank you
Yelena
I have a restricted OLS. How can I calculated centered R^2?
linreg(robusterrors) DEPENDENT sambeg samend residMod coefMod
# constant YOY%_SP500{1} BAA{2} YOY%_OIL{2} YOY%_CPI TR10Y{1} YOY%_HPI{1} TR3M YOY%_CRE UR
restrict(create) 3 residModb
#4
#1 beta3
#6
#1 beta5
#8
#1 beta7
dis 'Centered R^2 = ' %rsquared
I think that the value I get is not for the restricted OLS but for ordinary OLS.
Thank you
Yelena