Within R-sq. in Fixed Effect estimation
Posted: Wed Nov 18, 2009 9:10 am
Hi,
From the manual, I understand that the benchmark in computing the R-squared in fixed effects (FE) estimation is the constant only model. I would like to calculate the within R-squared (omitting the explained variance from the FEs).
I thought of first estimating an FE-only model and then estimating the model with the residuals as the dependent, but this makes the procedure two-step as opposed to the one step estimation in the original FE-estimation, which, I think, would alter the results.
Is there any procedure implemented in EViews 6 (or - is there any trick to apply) to compute a within R-squared?
Thanks.
From the manual, I understand that the benchmark in computing the R-squared in fixed effects (FE) estimation is the constant only model. I would like to calculate the within R-squared (omitting the explained variance from the FEs).
I thought of first estimating an FE-only model and then estimating the model with the residuals as the dependent, but this makes the procedure two-step as opposed to the one step estimation in the original FE-estimation, which, I think, would alter the results.
Is there any procedure implemented in EViews 6 (or - is there any trick to apply) to compute a within R-squared?
Thanks.