linearmodels.panel.results.FamaMacBethResults.corr_squared_between¶

property FamaMacBethResults.corr_squared_between : float¶

Between Coefficient of determination using squared correlation

Returns:¶

Between coefficient of determination

Return type:¶

float

Notes

The between rsquared measures the fit of the time-averaged dependent variable on the time averaged dependent variables.

This measure is based on the squared correlation between the entity-wise averaged dependent variables and their average predictions.

\[Corr[\bar{y}_i, \bar{x}_i\hat{\beta}]\]

This measure does not account for weights.