R-squared from a GLS regression is directly comparable to the R-squared from the same regression estimated using OLS.

Question

Quizplus · Accepted Answer

R-squared from a GLS (Generalized Least Squares) regression is not directly comparable to the R-squared from an OLS (Ordinary Least Squares) regression because GLS accounts for heteroskedasticity or autocorrelation in the error terms, altering the scale and interpretation of the coefficient of determination (R-squared) compared to OLS.

R-Squared from a GLS Regression Is Directly Comparable to the R-Squared