SAS Forecasting and Econometrics

Forecasting using SAS Visual Forecasting, SAS Forecast Server, SAS Econometrics and more
BookmarkSubscribeRSS Feed
olga19
Calcite | Level 5

Good evening,

this is my question: is it statistically correct to calculate the R2 with the formula (Pearson correlation )^2 in an autoregressive model without intercept

I have calculated it with the formula (Pearson correlation )^2 in a proc autoreg function calculating a backstep multivariate analysis with the method=ITYW.

 

 

Thank you in advance,

Olga

4 REPLIES 4
sbxkoenk
SAS Super FREQ

Hello,

 

For autoregression, BIC | AIC and AICC are much better goodness-of-fit measures than R².

I wouldn't use R² when dealing with time series regression.

 

Also, you calculate the Pearson correlation between what and what?

 

BR, Koen

olga19
Calcite | Level 5
Hi Koen,

I am forecasting a model using macroeconomic variables that I have
previously selected. The target variable is a default rate information and
the variables in the model are the macroeconomic variables.

I would like to know: is there a statistical reason that imposes a specific
formula for the calculation of R2 in this kind of model? Can I use this
formula or the methodology is wrong due to specific statistical assumptions?

Thanks
Olga
sbxkoenk
SAS Super FREQ

I have moved this topic-thread to 

"SAS Forecasting and Econometrics" - board.

 

Koen

Ksharp
Super User

The general formula of R2 is   1 - uss(residual)/css(Y)  .

But if there is only one independent variable(a.k.a  x variable), I think R2 =(Pearson correlation )^2

 

proc reg data=sashelp.class plot=none;
model weight=age height;
output out=want p=p r=r;
quit;

proc sql;
select 1-uss(r)/css(weight) as R_square from want;
quit;

Ksharp_0-1700017856229.png