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st: xtreg areg and R-square values


From   "Narasimhan Sowmyanarayanan" <narasimhan.sowmyanarayanan@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtreg areg and R-square values
Date   Tue, 11 Apr 2006 11:40:48 -0400

Hello All:

I have a few questions that I am concerned about and havent found
satisfactory explanation. I thought it may be a good idea to ask the
group. I will appreciate if someone responds to these.

1. The R-squares between xtreg (fe) and areg are differt. I looked at
the explanations on the stata faq. It seems to suggest that the xtreg
command does not include the explanatory power of the dummy variable.
However areg in my cases seems to provide a considerably higher
R-square as compared to xtreg. my Areg r-squares are of the order of
.25 and xtreg are .09. (overall) Does that mean that my indepent
variables do not really contribute to explaining a lot of variation ?.
What is the correct thing to report.

I did see a query like this in stata listserv earlier. I dont think it
provided a complete answer.

2. the xtreg fe command in stata provides values of rho and values of
standard deviation of the the random intercept. Why is that?. My basic
knowledge is that fixed effect models dont have such values. For
example areg does not provide these. What is the utility of these in
the context of fixed effect panel data regression ?

Thanks.

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