On Sun, 22 Jul 2012, yadong li wrote: > is there any way to obtain out of sample R square using Gretl ? > I tried many time but couldn't figure it out.
R-squared is not a commonly used statistic for assessing out of sample forecasts, since nothing guarantees that it lies in the range 0 to 1; it may well be negative. However, if you really want it, here's an example: <hansl> open data9-7.gdt smpl ; 1988:4 ols QNC 0 PRICE INCOME PRIME smpl 1989:1 1990:4 fcast QNC_hat ESS = sum((QNC - QNC_hat)^2) R2 = 1 - (ESS/sst(QNC)) </hansl> Note that if you replace "fcast QNC_hat" above with plain "fcast" you will get the standard range of forecast evaluation statistics (not including R-squared). Allin Cottrell
