goodness of fit of seemingly unrelated regression
Posted: Wed Mar 24, 2010 7:04 am
Hi, there!
I am now using Eviews6 to estimate a system(contains two equations) through SUR method. The result page do really show R square indicator for both of these two equations. But I am thinking while these two indicators tell me about the goodness of fit of each equation, is there any indicator that tells about the goodness of fit of the whole system?
also, I learned that there is a so-called "McElroy R square" specially designed for SUR method,which seems to be an indicator for the goodness of fit for the system. Can I find this indicator in Eviews?
Many Thanks!!!
I am now using Eviews6 to estimate a system(contains two equations) through SUR method. The result page do really show R square indicator for both of these two equations. But I am thinking while these two indicators tell me about the goodness of fit of each equation, is there any indicator that tells about the goodness of fit of the whole system?
also, I learned that there is a so-called "McElroy R square" specially designed for SUR method,which seems to be an indicator for the goodness of fit for the system. Can I find this indicator in Eviews?
Many Thanks!!!