[Gretl-users] Heckit goodness of fit

Allin Cottrell cottrell at wfu.edu
Thu Apr 9 17:47:05 EDT 2009


On Wed, 8 Apr 2009, Starr, Brian wrote:

> Is there a straightforward way to display a goodness of fit
> statistic for the Heckit two step estimator?  I'm not seeing one
> listed in the standard output.

There's no "correct" R-squared value for this sort of regression,
and it's not ML so the likelihood is not strictly relevant.  I
suppose you could calculate the square of the correlation between
the the actual and fitted values of the dependent variable.

Allin Cottrell


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