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


From   "Svetlana Mira " <SvetlanaM@Cardiff.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: R2-within(xtreg,fe) and R2_adj(areg)?
Date   Fri, 11 Jun 2004 19:13:51 GMT0BST

Mark,

thanks a lot for your help! Yes, indeed, I am evaluting the same 
model based on the xtreg, fe and areg, absorb, cluster and the 
coefficients in both regressions are the same (i.e., as you have 
explained the R2-within will be the same). But what about F-test? All 
our t-values have changed (most of them became lower in the robust 
model not higher!). How would I be able to re-calculate the F-test 
for areg to be comparable with F-test from xtreg, fe?

Thanks again for all your suggestions,
Svetlana

   On 11 Jun 2004 at 18:12, Mark Schaffer wrote:

> 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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