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.
Lm.fit extracting r-squared
1 message · jhn_nolan