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R 2 Measures Based on Wald and Likelihood Ratio Joint Significance Tests
Authors:Lonnie Magee
Institution:Department of Economics , McMaster University , Hamilton , Ontario , Canada , L8S 4M4
Abstract:Two methods are suggested for generating R 2 measures for a wide class of models. These measures are linked to the R 2 of the standard linear regression model through Wald and likelihood ratio statistics for testing the joint significance of the explanatory variables. Some currently used R 2's are shown to be special cases of these methods.
Keywords:Generalized Least Squares  SURE model  Simultaneous Equations  Nonlinear Regression  Binomial Logit
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