Wednesday, January 04, 2006

st: RE: R2 after newey regression

In addition to other suggestions, I think -fitstat- deserves a word in its defence. The help for -fitstat- indicates very clearly what commands it should work after, so the bare report "does not work" maligns the program unjustly when the error is all yours.


Lindsay Towns > I conducted a newey west regression however it provides no > information on the > goodness of fit of the model except F-ratio. Is there a way > to obtain the other > information that is usually outputted with OLS regression > (i.e., R2, adjusted, > SS, SM, etc)? I tried -fitstat- but the command does not > work. I have stata > version 8.1. Thanks in advance for all your help.

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