R2 in Seemingly Unrelated Regression Equations

H. Neudecker and Frank Windmeijer

Statistica Neerlandica, 1991, vol. 45, issue 4, 405-411

Abstract: Some properties are discussed of McElroy's measure of goodness of fit for Zellner's seemingly unrelated regression equations (Mc Elroy, 1977). Amongst them are asymptotic properties. We show that a possible alternative, the squared sample correlation coefficient of the npvector of dependent variables y=(y1′, y2′,…, yg′)′ and the vector of estimated variables y, both premultiplied by the inverse of the square root of the variance matrix of y, is not invariant under changes of location or scale. This measure therefore can't be considered as a serious alternative to McElroy's.

Date: 1991
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