xtdcce2 command - Interpreting (adjusted) Rsquared

[Bailey Stringer]

Hi,
I am running the following command using xtdcce2:

xtdcce2 d.growth d.l(growth) d.l(0/1)(tau_k tau_h tau_c totalexpenditure gfcfgdp employmentgrowth yearsedugrowth), ///
    lr(l.growth tau_k tau_h tau_c totalexpenditure surplus gfcfgdp employmentgrowth yearsedugrowth l.lngdpph) ///
    p(l.growth tau_k tau_h tau_c totalexpenditure gfcfgdp employmentgrowth yearsedugrowth l.lngdpph) nocross

This successfully runs, giving the following output:

(Dynamic) Common Correlated Effects Estimator - Pooled Mean Group (CS-ECM)

Panel Variable (i): cno                               Number of obs     =        269
Time Variable (t): year                               Number of groups  =          7

Degrees of freedom per group:                         Obs per group:    
 without cross-sectional avg. min   = 2                             min =         28
                              max   = 19                            avg =         39
 with cross-sectional avg.    min   = 2                             max =         45
                              max   = 19
Number of                                             F(128, 141)       =      12.54
 cross-sectional lags               none              Prob > F          =       0.00
 variables in mean group regression = 121             R-squared         =       0.08
 variables partialled out           = 7               Adj. R-squared    =      -0.76
                                                      Root MSE          =       0.94
                                                      CD Statistic      =       2.40
                                                         p-value        =     0.0163
------------------------------------------------------------------------------------
            D.growth|     Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
--------------------+---------------------------------------------------------------
 Short Run Est.    |
--------------------+---------------------------------------------------------------
   Mean Group:      |
           LD.growth| -.0205018   .0636065   -0.32    0.747     -.1451683   .1041647
             D.tau_k|  .1108507   .0882839    1.26    0.209     -.0621825   .2838839
            LD.tau_k|  .1948902   .0849428    2.29    0.022      .0284055   .3613749
             D.tau_h|  .0875849   .2884887    0.30    0.761     -.4778426   .6530125
            LD.tau_h| -.1927795    .168709   -1.14    0.253     -.5234431   .1378842
             D.tau_c| -.2581204    .134282   -1.92    0.055     -.5213084   .0050676
            LD.tau_c| -.4407191   .3083049   -1.43    0.153     -1.044986   .1635475
  D.totalexpenditure| -.2454627   .0994558   -2.47    0.014     -.4403926  -.0505329
 LD.totalexpenditure|  .0133227     .06866    0.19    0.846     -.1212484   .1478939
           D.gfcfgdp|  .6975205   .1899527    3.67    0.000        .32522   1.069821
          LD.gfcfgdp| -.1822181   .1287845   -1.41    0.157      -.434631   .0701948
  D.employmentgrowth|  .4443812   .1218602    3.65    0.000      .2055396   .6832228
 LD.employmentgrowth| -.1041447   .0786641   -1.32    0.186     -.2583236   .0500341
    D.yearsedugrowth| -.0333696    .580152   -0.06    0.954     -1.170447   1.103707
   LD.yearsedugrowth|  -.217793   .4786241   -0.46    0.649     -1.155879   .7202929
--------------------+---------------------------------------------------------------
 Adjust. Term       |
--------------------+---------------------------------------------------------------
   Pooled:          |
            L.growth| -.8697609   .1559673   -5.58    0.000     -1.175451  -.5640706
--------------------+---------------------------------------------------------------
 Long Run Est.      |
--------------------+---------------------------------------------------------------
   Pooled:          |
               tau_k| -.0985957   .0889259   -1.11    0.268     -.2728872   .0756958
               tau_h|  .0127507   .2430476    0.05    0.958     -.4636138   .4891151
               tau_c|  .0103705   .2372296    0.04    0.965      -.454591    .475332
    totalexpenditure|  .0672735   .2347151    0.29    0.774     -.3927596   .5273066
             gfcfgdp|  .0540256   .1733502    0.31    0.755     -.2857345   .3937857
    employmentgrowth|  .0536376   .2524265    0.21    0.832     -.4411093   .5483844
      yearsedugrowth|  .1016247   1.317466    0.08    0.939      -2.48056    2.68381
           L.lngdpph| -2.301626   1.324625   -1.74    0.082     -4.897843   .2945914
   Mean Group:      |
             surplus| -.3378064   .0574441   -5.88    0.000     -.4503947  -.2252181
------------------------------------------------------------------------------------
Pooled Variables: L.growth tau_k tau_h tau_c totalexpenditure gfcfgdp employmentgrowth yearsedugrowth L.lngdpph
Mean Group Variables: LD.growth D.tau_k LD.tau_k D.tau_h LD.tau_h D.tau_c LD.tau_c D.totalexpenditure LD.totalexpenditure D.gfcfgdp LD.gfcfgdp D.employmentgrowth LD.empl
> oymentgrowth D.yearsedugrowth LD.yearsedugrowth
Long Run Variables: tau_k tau_h tau_c totalexpenditure gfcfgdp employmentgrowth yearsedugrowth L.lngdpph surplus
Cointegration variable(s): L.growth
Heterogenous constant partialled out.

As can be seen above, the Rsquared is very low and the adjusted is actually negative. What is, if any, an appropriate interpretation of these Rsquared terms here?
Thanks!

[Bailey Stringer]

Small correction - surplus is also meant to be pooled, but running this regression changes little conceptually about my question. Rsquared remains very low and adjusted Rsquared remains negative.