[Gretl-users] question

[Allin Cottrell]

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