Dear list, I am running a fama macbeth regression using the lm.fit function and am having problems extracting the rsquareds from each of the cross sectional regressions (second stage) I have estimated.
I can obtain the coefficients using cfit = lm.fit(t(bhat[-1,]), t(q))$coefficients However I am unsure how (or if I even can) obtain the rsquareds for each regression. Thanks in advance, John -- View this message in context: http://r.789695.n4.nabble.com/Lm-fit-extracting-r-squared-tp3449343p3449343.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
