Hi everyone,

This is a query on how to report the R-squared (or Adjusted R-squared) value in a system GMM estimation.
I have a panel data set of 54 countries for the period 2010-18. The STATA output on estimating system GMM using the xtdpdsys command does not provide the R-squared value directly. I am aware of the xtabond2 command as well. In either cases, the R-squared values are not reported. However, I came across some articles which have reported R-squared values using the system GMM method.
Can you please help me with the command to obtain the R-squared value after system GMM estimation?

Thank you