On Sun, 12 May 2013, Anton Pyzhev wrote:
First of all, many thanks for gretl. I am using it with my
students and research activities since last year, and I do
really enjoy it.
Thanks, glad you like it!
One small issue raised concerning the goodness-of-fit test
for OLS models which don't have the intercept term. As far
as I understand, gretl computes the common R-squared for
intercept models, and uncentered R-squared. It is known that
in such models the uncentered is very likely to be close to
1, hence it becomes uninformative.
Would it be possible to include the option for choosing,
what kind of R-squared will be computed for non-intercept
models?
I think it's probably too arcane to add options for R^2 for
the no-intercept case, particularly since the worth of that
statistic is quite questionable. At one time gretl used the
square of the correlation between the dependent variable and
the fitted value, and that's pretty easy to compute after
estimating a model, as in
ols y X
altR2 = corr(y, $yhat)^2
Allin Cottrell