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Re: st: Stata's pseudo R-squared for oprobit


From   May Boggess <mboggess@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Stata's pseudo R-squared for oprobit
Date   Wed, 12 Oct 2005 13:51:24 -0500

On Wednesday afternoon Ramani asked about the pseudo-R^2 reported by -oprobit-:


I have not been able to find a definition of the particular pseudo
R-squared that Stata reports with the results of an oprobit regression
in either the manuals or in the list archives.
As I understand, there are many pseudo R-squareds around. Can someone
please tell me whether the one Stata reports is Maddala's (1983) or
Zavoina and McKelvey's (1975) or something else?
The formula used is used with many Stata estimation commands.
The pseudo-R^2 is defined as 1 - (LL/L0) where LL is the maximized log
likelihood and L0 is the maximized log likelihood of the constant only model. Here is an example:

clear
sysuse auto
oprobit rep78 mpg len
display "pseudo R^2 = " 1- e(ll)/ e(ll_0)

Ramani can find this formula in the Reference manual [R] maximize, in the Methods and Formulas section (top of page 144, in the version 9 manual).

-- May
mmb@stata.com
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