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statistisches
2008 Apr 24
0
Coefficient of determination in a regression model with AR(1) residuals
.... However, I ended up with R^2
larger than 1!
As mentioned on the German wikipedia page (http://de.wikipedia.org/
wiki/Bestimmtheitsma?), in models fitted using Maximum Likelihood
Estimation (MLE), the coefficient of determination does _not_ exist
(citation [2008-04-24]: "Bei bestimmten statistischen Modellen, z.B.
bei Maximum-Likelihood-Sch?tzungen, existiert das Bestimmtheitsma?
R^2 nicht"). Any comments on that?
The German Wikipedia page mentions McFadden's pseudo-coefficient of
determination, the English Wikipedia page the one of Nagelkerke. I
know there are others, too. I...