# Questions tagged [r-squared]

The coefficient of determination, usually symbolized by $R^2$, is the proportion of the total response variance explained by a regression model.

740 questions
Filter by
Sorted by
Tagged with
16 views

45 views

### Why is Out of sample R^2 inappropriate for Time Series Forecasting?

I've been reading a few posts from distinguished members of this community about R^2 and time series forecasting: 1.What is the problem with using R-squared in time series models? 2.R-squared to ...
20 views

### How to compute RSquare from GLS regression in a Fama Macbeth procedure

I am trying to compute the RSquared from the Fama Macbeth procedure using GLS regression, but for some reason I get negative values, so I was wondering what the problem might be. The Fama Macbeth ...
19 views

### R^2 value more than one [duplicate]

I have a question about the R^2 value equation given on page 112 (Forecasting Principles and Practice) by Dr. Hyndman. I am working with a dataset with 100 samples and the R^2 using gives me a value ...
10 views

### Why are the R-squareds of the subsamples much smaller than the R-squared of the full sample? [duplicate]

I'm hoping to get some intuition on what is happening. My R-squared in the full sample is 10%. When I split my sample into two subsets, my R-squared in each subset is about 1%. I thought the R-...
43 views

211 views

### Can I ignore the negative R-squared value when I am using instrumental variable regression?

I am running an instrumental variable regression using 'ivreg' command in R program. I find that all my validity tests related to endogeneity are satisfied only except the R-squared value which is ...
23 views

### R-squared unbiased when F-test is biased in heteroscedasticity?

If R2 and F-statistic are in functional relationship, is it possible, that in case of heteroscedasticity F-test is biased but R-squared is not?