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Re: st: between overall within squared on xtreg
The three R-squareds are:
1) within: The R-squared from the mean-deviated regression, i.e. the
ordinary r-squared from running OLS on the transformed data.
2)between: first, this computes the fitted values using the
fixed-effects parameter vector and the within-individual means of the
indepdenent variables. Then calculates the r-squared as the squared
correlation between those predicted values and the within-individual
means of the original y variable.
3) overall: first, this computes the fitted values using the
fixed-effects parameter vector and the original, untransformed
independent variables. Then calculates the r-squared as the squared
correlation between those predicted values and the original,
untransformed y variable.
Seems to me like you would want the within R-squared, since you are
using the within estimator.
On Wed, 16 Aug 2006 01:54:44 +0200
"Steffen H. Gröning" <firstname.lastname@example.org> wrote:
JS>I have been looking on FAQ and quite every other resource that
JS>pointed me to. I have gotten so far as to know that when using a
JS>effects model to only interpret the within r squared.
JS>But why is stata giving the other r squares as well and how can i
JS>I haven´t found a clear cut answer to the differences and
JS>interpretations of within between and overall r squared. Maybe
JS>could help me out here?
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