linearmodels.panel.results.FamaMacBethResults.rsquared_between¶
- property FamaMacBethResults.rsquared_between : float¶
Between coefficient of determination.
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.
It is NaN if its total sum of squares is zero, up to rounding error, i.e., if the time-averaged dependent variable is the same for every entity in a model with a constant, or is 0 for every entity in a model without one. No error or warning is raised.