Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Re: xtreg v areg


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, Clive Nicholas <Clive.Nicholas@newcastle.ac.uk>
Subject   Re: st: Re: xtreg v areg
Date   Mon, 14 Jun 2004 22:47:53 +0100 (BST)

Clive,

It's all in the manual.  The xtreg entry has about a page on how the R-sqs 
reported are not like OLS R-sqs, whereas the areg entry has a sentence 
saying that the areg R-sq is just the R-sq reported if you run an OLS 
regression with dummies.

Cheers,
Mark

Quoting Clive Nicholas <Clive.Nicholas@newcastle.ac.uk>:

> Kit Baum wrote:
> 
> > Apples and oranges make a good fruit salad, but...
> >
> > The areg shows 11 region categories. The xtreg shows 304 groups
> of
> > 'pano'. If you use the same variable (e.g. region) in both
> commands,
> > you will get the same coefficients/std errors, or your computer
> is
> > broken.
> 
> As a gangster from the East End of London might say, I've sorted it.
> I
> used my PANO (constituency) variable as the fixed effect in both
> models,
> after Scott Merryman's corrective suggestion. This got me the
> identical
> results I should have had for both LSDV and FE. I could have used
> REGION
> as my fixed effect, but the codes in this variable represent much
> larger
> areas of the UK. I prefer the former, since one cannot get much
> more
> precise regional FEs than parliamentary constituencies (unless you
> use
> local government wards, but that would be masochistic)!
> 
> However, I noticed something in my two 'identical' models:
> 
> . areg edconch edround2 edround3 edtime edtimesq edyear edpollch
> lagconch
> laglabch lagldmch clmargin ldmargin conplace edenp class if
> edmarker==1,
> absorb(pano)
> 
> Number of obs =    1632
> F( 14,  1314) =   69.42
> Prob > F      =  0.0000
> R-squared     =  0.7324
> Adj R-squared =  0.6678
> Root MSE      =  6.1165
> 
> [...]
> 
> . tsset pano edyear
> 
> . xtreg edconch edround2 edround3 edtime edtimesq edyear edpollch
> lagconch
> laglabch lagldmch clmargin ldmargin conplace edenp class if
> edmarker==1,
> fe
> 
> Fixed-effects (within) regression             Number of obs      =  
>    1632
> Group variable (i): pano                      Number of groups   =  
>     304
> 
> R-sq:  within  = 0.4252                       Obs per group: min =  
>       1
>        between = 0.4157                                      avg =  
>     5.4
>        overall = 0.3644                                      max =  
>      10
> 
>                                               F(14,1314)         =  
>   69.42
> corr(u_i, Xb)  = -0.5123                      Prob > F           =  
>  0.0000
> 
> [...]
> 
> Now, I have fit the same models here (with the same FE in both)
> whilst
> 'switching off' any weighting and cluster options in both of them.
> How is
> it that the R^2 is not the same in both models? Doubtless I'm
> overlooking
> something. Ta.
> 
> CLIVE NICHOLAS        |t: 0(044)191 222 5969
> Politics              |e: clive.nicholas@ncl.ac.uk
> Newcastle University  |http://www.ncl.ac.uk/geps
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 



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.
________________________________________________________________
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index