property GMMSystemResults.rsquared : float

Coefficient of determination (R2)


The coefficient of determinations.

Return type:



The overall R2 is similar to Judge’s system R2 since no weighting is used. These two only differ if one or more equations do not include constants. It is defined as

\[1 - \frac{\sum_i \sum_j \hat{\epsilon}_{ij}^2} {\sum_i \sum_j \hat{\eta}_{ij}^2}\]

where \(\eta\) is the residual from a regression on only a constant. Note that if a constant is not present in an equation then the term in the denominator is not demeaned so that \(\hat{\eta}_{ij}=y_{ij}\).