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olga19
‎11-15-2023
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Re: R2 calculation in autoregressive models

by Calcite | Level 5 in SAS Forecasting and Econometrics
‎11-14-2023 05:48 PM
‎11-14-2023 05:48 PM
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 ... View more

R2 calculation in autoregressive models

by Calcite | Level 5 in SAS Forecasting and Econometrics
‎11-14-2023 04:21 PM
‎11-14-2023 04:21 PM
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 ... View more
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