How do I get the R-squared for a vector autoregression (VAR)?

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Vishal
Vishal on 6 Jun 2014
I am using functions vgxset, vgxvarx, vgxdisp, etc to run a vector autoregression (VAR). None of these functions output the R-squared of the regression. How do I get, or calculate, the implied R-squared of the VAR. Thanks!

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