R-squared and dynamic panel threshold regression

[sedki zn]

Dear all,

i hope you are doing good

i'm applying a dynamic panel threshold method using the "xtendothresdpd".
my supervisor asks me for the R-squared but the output (attached) does not mention it.
i would like to know why ? and how can i justify it

Kind regards

[sedki zn]

Dear River Huang

i would appreciate your help
kind regards

[River Huang]

Dear sedki. You should consult the opinion of Professor Diallo Ibrahima Amadou, the author of (ssc install) xtendothresdpd command. The reason for NOT reporting R^2, according to my conjecture (right or wrong?), is that R^2 is not sensible in the IV/GMM estimation.