linearmodels.panel.results.FamaMacBethResults.corr_squared_between¶
- property FamaMacBethResults.corr_squared_between : float¶
Between coefficient of determination using squared correlation.
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.
It is NaN if the entity-wise averaged dependent variable is the same for every entity, up to rounding error, since the correlation is not defined, and it is 0 if the predictions are the same for every entity. No error or warning is raised.