R squared in Restricted OLS

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yelena
Posts: 31
Joined: Wed Sep 09, 2015 8:49 pm

R squared in Restricted OLS

Unread post by yelena »

Dear Tom,

I have a restricted OLS. How can I calculated centered R^2?

linreg(robusterrors) DEPENDENT sambeg samend residMod coefMod
# constant YOY%_SP500{1} BAA{2} YOY%_OIL{2} YOY%_CPI TR10Y{1} YOY%_HPI{1} TR3M YOY%_CRE UR

restrict(create) 3 residModb
#4
#1 beta3
#6
#1 beta5
#8
#1 beta7

dis 'Centered R^2 = ' %rsquared

I think that the value I get is not for the restricted OLS but for ordinary OLS.
Thank you
Yelena
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