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- Thu Jan 28, 2010 1:16 am
- Forum: Econometric Discussions
- Topic: System weighted R-squared
- Replies: 0
- Views: 2833
System weighted R-squared
I am aware that single equation R-squared measures are not appropriate to infer the goodness of fit of a system of equations since the R-square is only maximized with OLS whereas the purpose of a system estimation (such as 3sls) is to get accurate estimates of the coefficients. Unfortunately, Eviews...