Different R squared value

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Khawla
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Joined: Sat Jan 14, 2023 1:36 pm

Different R squared value

Postby Khawla » Sat Jan 21, 2023 10:26 am

Hi,
I have applied the command ls y c x ar(1) using Eviews, and I applied the cochrane orcutt function using R package and excel.
I got the same results for all the statistics in all these applications, accept the value of R squared, where it is different in Eviews. I have attached the results.
Could you please help me to know why, especially, the difference is large.
Attachments
Results_Eviews_and_R_package.xlsx
(9.82 KiB) Downloaded 13 times

EViews Gareth
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Re: Different R squared value

Postby EViews Gareth » Sat Jan 21, 2023 6:14 pm

I don't see the AR results in your R output.
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startz
Non-normality and collinearity are NOT problems!
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Re: Different R squared value

Postby startz » Sun Jan 22, 2023 8:33 am

What command did you use in R? I don't think

Code: Select all

lm()
does Cochrane-Orcutt, does it?

(By the way, I'd be willing to wager that the R-squared shown in the R output is from the quasi-differenced variables.)

Khawla
Posts: 10
Joined: Sat Jan 14, 2023 1:36 pm

Re: Different R squared value

Postby Khawla » Sun Jan 22, 2023 9:50 am

EViews Gareth wrote:I don't see the AR results in your R output.


Hi, I appreciate your quick response, thank you.

I used the function cochrane.orcutt (lm function) from the packages("orcutt"). This R function directly presents the new results of the Regression analysis using the transformed data (transformed using AR(1)) which what I had attached.

Regards,
Khawla

Khawla
Posts: 10
Joined: Sat Jan 14, 2023 1:36 pm

Re: Different R squared value

Postby Khawla » Sun Jan 22, 2023 9:58 am

startz wrote:What command did you use in R? I don't think

Code: Select all

lm()
does Cochrane-Orcutt, does it?

(By the way, I'd be willing to wager that the R-squared shown in the R output is from the quasi-differenced variables.)

Hi,
I used the function cochrane.orcutt (lm function) from the packages("orcutt"). I first applied (lm) function and then cochrane.orcutt (lm function).

startz
Non-normality and collinearity are NOT problems!
Posts: 3747
Joined: Wed Sep 17, 2008 2:25 pm

Re: Different R squared value

Postby startz » Sun Jan 22, 2023 12:26 pm

The Cochrane-Orcutt package is returning the R-squared on the quasi-differenced model. This is a bug. EViews has it right.

(Orcutt would not have been pleased.)

Khawla
Posts: 10
Joined: Sat Jan 14, 2023 1:36 pm

Re: Different R squared value

Postby Khawla » Sun Jan 22, 2023 3:06 pm

[quote="startz"]The Cochrane-Orcutt package is returning the R-squared on the quasi-differenced model. This is a bug. EViews has it right.

(Orcutt would not have been pleased.)[/]

Thanks for your response, it was very helpful.

Best wishes,
Khawla

Khawla
Posts: 10
Joined: Sat Jan 14, 2023 1:36 pm

Re: Different R squared value

Postby Khawla » Tue Jan 24, 2023 11:59 am

startz wrote:The Cochrane-Orcutt package is returning the R-squared on the quasi-differenced model. This is a bug. EViews has it right.

(Orcutt would not have been pleased.)

Hi and sorry to bother you again.
I just wonder, with regard to the use of Cochrane-Orcutt procedure and as much as I understand that if the all the dependent and the independent variables are transformed using rho, then thevalues of the predicted, residuals, and all the statistics including R squared value will be based on these inputs and be of the same form, but you said that quasi-differenced model is not be used in Eviews. My question is how the results of predicted, residuals, R squared values are obtained in Eviews if it does not depend on quasi-differenced.

regards

startz
Non-normality and collinearity are NOT problems!
Posts: 3747
Joined: Wed Sep 17, 2008 2:25 pm

Re: Different R squared value

Postby startz » Tue Jan 24, 2023 12:08 pm

EViews doesn't exactly do Cochrane-Orcutt. By default estimation is by maximum-likelihood. The difference is likely to be very small.

Khawla
Posts: 10
Joined: Sat Jan 14, 2023 1:36 pm

Re: Different R squared value

Postby Khawla » Tue Jan 24, 2023 1:02 pm

startz wrote:EViews doesn't exactly do Cochrane-Orcutt. By default estimation is by maximum-likelihood. The difference is likely to be very small.

I really appreciate your help. I would be grateful if you recommend a source.

Best Wishes

startz
Non-normality and collinearity are NOT problems!
Posts: 3747
Joined: Wed Sep 17, 2008 2:25 pm

Re: Different R squared value

Postby startz » Tue Jan 24, 2023 1:06 pm

The EViews help system describes the alternatives available in EViews quite extensively.

Khawla
Posts: 10
Joined: Sat Jan 14, 2023 1:36 pm

Re: Different R squared value

Postby Khawla » Wed Jan 25, 2023 9:42 am

startz wrote:The EViews help system describes the alternatives available in EViews quite extensively.

Thank you very much.

Regards


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