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Re: st: R-Squared in Panel data (RE vs. FE)


From   Andrea Molinari <[email protected]>
To   [email protected]
Subject   Re: st: R-Squared in Panel data (RE vs. FE)
Date   Tue, 27 Dec 2005 12:32:58 +0000

Hi Dahlia 

What you want for the RE is the overall R2. I guess the best place to 
look for the formula is STATA's manual, or perhaps books on panel data 
like Wooldridge, Hsiao or Baltagi.

Hope that helps,

Andrea

Quoting Dahlia El-Hawary <[email protected]>:

> Hi everyone, 
> I would very much appreciate your help with my following question.  
> 
> I am estimating a panel data model using both the Random Effects 
> Feasible Generalized Least Squares (REFGLS) and the Fixed Effects 
> Within (FE) estimators.
> 
> I know that the R- squared to be reported when using the FE estimator
> 
> is the R- squared (Within), but which one to report for the REFGLS ?
> 
> (In Stata output, I have three R-sqaured: overall, within & between).
> 
> I guess for the REFGLS, the overall R-squared is more likely to be
> the 
> correct one to be reported. Is that correct?.
> 
> Is there any text book where I can read about the formula for 
> calculating the R-squared for the REFGLS estimator? I want to know
> the 
> mathematical relationship between the formula for R-squared for the 
> REFGLS and that for the FE Within. 
> 
> I would very much appreciate your suggestions, 
> Thank you so much & best regards, 
> 
> Dahlia El-Hawary
> PhD Candidate
> Economics Department
> George Washington University
> *
> *   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/
> 



Andrea Molinari
PhD in Economics student
University of Sussex
*
*   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/



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