Using gret l for Principles of Econometrics, 4th Edition
A generalized version of the goodness-of-fit statistic R2 can be obtained by taking the squared correlation between the actual values of the dependent variable and those predicted by the regression. The following script reproduces the results from section 4.4.4 of your textbook.
1 open "@gretldirdatapoecps4_small. gdt"
2 logs wage
3 ols l_wage const educ
4 series y = exp($yhat)
5 scalar corr1 = corr(y, wage)
6 scalar Rsquare = corr1"2
7 print corrl Rsquare
This yields an estimated correlation of 0.4312 and a squared correlation of 0.1859.
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