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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   Sat, 12 Jun 2004 22:07:34 +0100 (BST)

Svetlana,

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

> 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

You should be able to use -test- to test the significance of all your 
coefficients (excluding the constant) after you run the regression.

If you try it without -cluster- you should find that doing the F-test this 
way reproduces the reported F-stat.  That way you'll know you're doing it 
correctly.

--Mark

> 
>    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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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
________________________________________________________________

DISCLAIMER:

This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed.  If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail.  In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail.  Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail.  Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
________________________________________________________________
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