Pooled regression r-squared

[Tobias]

Hello,

I am doing a pooled estimation (time = 1, ... 200; firms = 1, ... 100) with dependent variable "exr?" and period specific coefficients "C" and "beta?". Actually, I want to perform an asset pricing test (Fama/MacBeth approach).

I now get time series coefficient (exactly what I need for the Fama/MacBeth approach). However, what I additionally need (and not get) is a time series of r-Squared in order to calculate a time series median or mean of these r-squared.

Is there any possibility to get time series r-Squared (for every cross section) in the Output table. As far as I understand, the single r-squared currently shown in the output is no time series mean.

Any support is highly appreciated. Thanks in advance!

Best
Tobi