Re: [Gretl-users] question
On Fri, 23 Jan 2009, Dennis van Amelsfort wrote:
I have a large panel data collection, consisting of about 1500
firms, with observations over max. 3 years. ... I have estimated
the model using the random effects GLS method, and the model
seems to be valid. ... There is however no Rsquare (or
equivalent number) available in the output. Is it possible to
obtain such a number for GLS?
As others have said, random effects is in fact rejected for this
model. However, to address your question about R^2: the point is
that this statistic is of dubious value for GLS estimation, but if
you really want an R^2 value you can compute the square of the
correlation coefficient between the actual and fitted values of
the dependent variable.
Allin Cottrell