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st: hierarchical F-tests and fixed effects regression -- which R-Squar=


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Subject   st: hierarchical F-tests and fixed effects regression -- which R-Squar=
Date   Tue, 3 Oct 2006 13:14:12 -0400 (EDT)

ed?
Date: Tue, 3 Oct 2006 09:29:01 -0700
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From: "Jason Yackee" <jyackee@law.usc.edu>
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Dear all,

Apologies if this is a double post; my university's servers have a dislike =
for Statalist that I am trying to sort out.

I would like to manually calculate a hierarchical F-test to see if adding a=
n interaction term to my equation significantly supplements the explained v=
ariance.=A0 I am using -xtgls- with the fixed effects option.=A0 I am aware=
  that the "reported" r-squared statistic in publications is usually the "wi=
thin" statistic. =A0What I am wondering is which is the proper r-squared to=
  plug into the standard f-statistic formula,

F =3D [(RSquare2 - RSquare1)/k2-k1)] / [(1-RSquare2)/(N-k2-1).

I am guessing that I should put in the "overall" r-squared from the -xtgls-=
  output, but that is really just a guess....  Advice appreciated as usual

Jason Webb Yackee
Fellow
Gould School of Law
University of Southern California
Los Angeles, California 90089-0071
Tel: 213-740-2865
Fax: 213-740-5502
Cell: 919-358-3040
email: jyackee@law.usc.edu
=A0


Jason Webb Yackee, PhD Candidate; J.D.
Fellow, Gould School of Law
University of Southern California
jyackee@law.usc.edu
Cell: 919-358-3040


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