Negative R square

[Miskolak]

Hi all,

I'm running least squares estimations using WTI data and stock market data.

I have adjusted the data for inflation. Logged both data sets, took the first difference to find the rate of growth, and multiplied the data by 100.

When I've regressed the variables, I get a return of a negative r square.
Am I misspecifying the equations? Using wrong data?
I don't know where I'm making the mistake. As I'm trying to establish the extent to which growth in WTI affects the growth in stock markets.

Thank you for all the help and wish you all the best.

[EViews Gareth]

Do you have a constant/intercept?

[Miskolak]

Do you have a constant/intercept?

Hi, yes I do.

When estimating I type in : STOCK = C(1) + WTI(2) + Lag1WTI(3) + Lag2WTI(4) + Lag1Stock(5) + Lag2Stock(6)

Additionally, when I add lags the R square becomes more negative.

[EViews Gareth]

That specification is almost certainly not correct. You probably want:

Code: Select all

stock c wti lag1wti lag2wti lag1stock lag2stock


[Miskolak]

That specification is almost certainly not correct. You probably want:

Code: Select all

stock c wti lag1wti lag2wti lag1stock lag2stock


That fixed it, thank you very much.