Dear all,

不好意思想请教一下， 在stata跑 GLS (xtgls y x1 x2 x3, i(company)的面板数据下，
GLS是不会产生R^2， 查过原因如下：

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) 却会产生R^2，
但却有点不合理 (照理應該不會產生R^2)。
想请问一下，难道是我搞错Eviews 跟 stata 的 GLS??

另外，想请问一下， 我跑Eviews fixed methods 是GLS工具变量，
那如果我跑stata (xtreg y x1 x2 x3, fe)，也会是GLS的工具变量吗?

感激不尽!! 各位同志谢谢你们了! 明天就要跟教授meeting，有点迫在眉梢~~