linearmodels.panel.results.FamaMacBethResults.rsquared_between¶

property FamaMacBethResults.rsquared_between : float¶

Between Coefficient of determination

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. It accounts for the weights used in the estimation of the model.

See the mathematical reference in the documentation for the formal definition of this measure.