Dear all,

不好意思想請教一下，
在stata跑 GLS (xtgls y x1 x2 x3, i(company)的面板數據下，
GLS是不會產生R^2，
查過原因如下：
The R-squared statistic is an ordinary least squares (OLS) concept
that is useful because of the unique way it breaks down the total
sum of squares into the sum of the model sum of squares and the
residual sum of squares. When you estimate the model’s parameters
using generalized least squares (GLS), the total sum of squares cannot
be broken down in the the same way, making the R-squared statistic less
useful as a diagnostic tool for GLS regressions.

Specifically, an R-squared
statistic computed from GLS sums of squares need not be bounded between zero
and one and does not represent the percentage of total variation in the dependent
variable that is accounted for by the model. Also, eliminating or adding variables
in a model does not always increase or decrease the computed R-squared value.

然在Eviews 跑 Fixed methods : Cross section weights (GLS)
卻會產生R^2，但卻有點不合理。

想請問一下，難道是我搞錯Eviews 跟 stata 的 GLS??

另外，想請問一下，
我跑Eviews fixed methods 是GLS工具變量，
那如果我跑stata (xtreg y x1 x2 x3, fe)，也會是GLS的工具變量嗎?

感激不盡!!

各位同志謝謝你們了!
明天就要跟教授meeting，有點迫在眉梢~~