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Re: st: between overall within squared on xtreg


From   Justin Smith <smithjd5@univmail.cis.mcmaster.ca>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: between overall within squared on xtreg
Date   Tue, 15 Aug 2006 22:34:57 -0400

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.

Justin Smith




On Wed, 16 Aug 2006 01:54:44 +0200
 "Steffen H.  Gröning" <tutor2005um@googlemail.com> wrote:
JS>Hi,
JS>
JS>I have been looking on FAQ and quite every other resource that
JS>google
JS>pointed me to. I have gotten so far as to know that when using a
JS>fixed
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>interpret them?
JS>I haven´t found a clear cut answer to the differences and
JS>interpretations of within between and overall r squared. Maybe
JS>someone
JS>could help me out here?
JS>
JS>Thank You.
JS>Steffen.
JS>
JS>
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Justin Smith
PhD Candidate
Department of Economics
McMaster University
Phone: (905) 962-0353
E-mail: smithjd5@mcmaster.ca 
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