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Re: st: R2-within(xtreg,fe) and R2_adj(areg)?
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
> 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
> R2 that would be comparable with R2-within? I know that I could
> 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.
> Thanks a lot in advance,
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Prof. Mark Schaffer
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
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