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RE: st: between overall within squared on xtreg


From   Tutor 2005 UM <tutor2005um@googlemail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: between overall within squared on xtreg
Date   Wed, 16 Aug 2006 04:52:32 +0200

Thanks for the help.
I was using within, but wanted to make sure I am not missing out on s/th
else if I do not consider the other 2 R squared.

Cheers
steffen

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Justin Smith
> Sent: Wednesday, August 16, 2006 4:35 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: 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.
> 
> 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 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>
> JS>*
> JS>*   For searches and help try:
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> 
> Justin Smith
> PhD Candidate
> Department of Economics
> McMaster University
> Phone: (905) 962-0353
> E-mail: smithjd5@mcmaster.ca 
> *
> *   For searches and help try:
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> 


*
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