I am conducting a study that requires two steps of statistical estimation. First, I run a regular OLS regression, from which I gather three outputs that I need:
- coefficient values
- standard deviations for these values
- adjusted R-squared
Second, I estimate a system of two simultaneous questions and run a vector regression. MatLab gives me the following outputs: coefficient estimates, covariance matrix for dependent variables, matrix of residuals, covariance matrix of the estimates, and the log-likelihood function. I am not sure what to make of these information and how it corresponds to the first simple OLS regression. I have only the coefficient values, but not the other two things. How can I find the standard deviation and the adjusted R-squared (or their closest substitutes) in the case of two simultaneous regressions?