ARMAX models: Effect Size and R-squared

[Andrea Arancio]

Hi everybody and happy Xmas

Is there an easy way in Stata to get the percentage of the variance explained by an ARMAX model? (Similarly to the adjusted R-squared in multiple linear regression)

Moreover, working with unstandardized predictors, is there a way to find which one has the strogest effect on the dependent variable? (effect size)

Thanks a lot,
Andrea.

[Andrea Arancio]

Also cross-posted here: http://stats.stackexchange.com/quest...-and-r-squared