linearmodels.panel.results.FamaMacBethResults.avg_rsquared¶

property FamaMacBethResults.avg_rsquared : float¶

The average coefficient of determination.

This value contains the average of the individual rsquared values across the cross-sectional regressions, one for each time period. An R-squared value is only included in the average if a cross-section has full rank and if the dependent variable of the cross-section varies, since the coefficient of determination is NaN, up to rounding error, if its total sum of squares is zero.