adjusted R squared from Vector Autoregression VAR model using vgxset

I am using vgxset, vgxvarx, vgxdisp for a vector autoregression model. The functions only show the coefficients, std.errors and t-statistics. As well as the covariance matrix of the errors
Is there a way to get (adjusted) R squared as an ouput somehow?

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Jorge Durazo Patron
Jorge Durazo Patron 2021 年 3 月 27 日
Did you manage to solve this issue? If so, how?

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2016 年 8 月 11 日

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