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Thanks! And sorry for the several mistakes in my last post (I have edited it). What did the calculation look like in version 5? I get very different R2 in my regressions depending on version (extremely high in version 5, around 0,97-0,99 which made me suspicious, in version 6 it is more reasonable 0...

Thanks for the reply but I do not quite get it and would like some more information. Perhaps a formula. R2 as I understand it (sloppy notation): R2 in OLS: 1 – u’u/(y-c)’(y-c) where u = y – xb and c is the mean of y Unweighted R2 in WLS: 1 – u’u/(y-c)’(y-c) , where u = y – x b* , where b* coefficien...

I have estimated a model using WLS. Unweighted and unweighted R-squared is reported. I think I know how the unweighetd R-squared is calculated (unweighted data but coefficients from weighted estimation) but I wonder how weighted R-squared is calculated? I used to think that it simply is R-squared us...