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Re: st: R2-within(xtreg,fe) and R2_adj(areg)?


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, Svetlana Mira <SvetlanaM@Cardiff.ac.uk>
Subject   Re: st: R2-within(xtreg,fe) and R2_adj(areg)?
Date   Fri, 11 Jun 2004 18:12:09 +0100 (BST)

Svetlana,

Quoting Svetlana Mira  <SvetlanaM@Cardiff.ac.uk>:

> Dear Statalist members,
> 
> Using a panel dataset, I run a xtreg, fe and use areg, absord (id)
> cluster (id) to correct for autocorrelation and heteroskedasticity
> in
> the model. The xtreg, fe give us a R2-within while areg R2-adj. Is
> there a way of obtaining/converting the R2-adj from the areg into
> a
> R2 that would be comparable with R2-within? I know that I could
> use
> areg, absorb (id) to obtain a R2-adj for the xtreg, fe, but I am
> interested in the opposite transformation (R2-adj into R2-within).
> 
> Any suggestions are more than welcome!

The R2s depend on the coefficient estimates but not on the estimated 
variance-covariance matrix.  It looks like you are using xtreg,fe and areg 
to estimate the same model, and so the coefficients reported by the two 
estimators should be the same.  If they are, then you can simply use the 
R2s reported by xtreg,fe.

Cheers,
Mark

> 
> Thanks a lot in advance,
> Svetlana
> 
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> 



Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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