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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
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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
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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
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I have moved this topic-thread to
"SAS Forecasting and Econometrics" - board.
Koen
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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;