## R-squared

The conventional R-squared measure is inappropriate for all
models that the TSCSREG procedure estimates using GLS since a number
outside the 0-to-1 range may be produced.
Hence, a generalization of the R-squared measure is reported.
The following goodness-of-fit measure (Buse 1973) is reported:

where are the residuals of the transformed model,
,and
.

This is a measure of the proportion of the transformed
sum of squares of the dependent variable that is attributable to the
influence of the independent variables.

If there is no intercept in the model, the corresponding measure
(Theil 1961) is

Clearly, in the case
of OLS estimation, both the R-squared formulas given here reduce
to the usual R-squared formula.

Copyright © 1999 by SAS Institute Inc., Cary, NC, USA. All rights reserved.