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I'm using prof Hyndman's fpp2 package in R to generate dynamic regression model with auto.arima. I want to see the R2, but it's not shown in the summary output. Just wonder it's not an important metric in dynamic regression? is it possible to quickly generate it?

thank you all.

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MeiNan Zhu
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  • Can you show your summary output? – forecaster Aug 07 '17 at 00:24
  • Sure, I've attached one output example. Just learnt how to do it...:) . – MeiNan Zhu Aug 07 '17 at 00:46
  • Your question 1 is duplicate of this one https://stats.stackexchange.com/questions/101546/what-is-the-problem-with-using-r-squared-in-time-series-models and your question 2 is off topic answer can be found here https://stats.stackexchange.com/questions/8750/how-can-i-calculate-the-r-squared-of-a-regression-with-arima-errors-using-r – forecaster Aug 07 '17 at 01:08

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Per Hyndman, R-squared is not well defined for time series models. See How can I calculate the R-squared of a regression with arima errors using R?.

Michael Rice
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