Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: adjusted r square


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: adjusted r square
Date   Mon, 19 Feb 2007 20:27:30 -0500

Ranjita said

I saw your note in Stata re: adjusted R square and that while -areg- calculates the adjusted R^2 statistic, but, it is not statistically equivalent to the FE model in -xtreg, fe-: Therefore, my question is if I wanted to stay with xtreg, fe how whould I calculate adjusted R square? Thank you for your help

The model estimated by xtreg,fe is certainly 'statistically equivalent' to that estimated by areg:

webuse grunfeld
xtreg invest mvalue kstock,fe
areg invest mvalue kstock,absorb(company)

These models have identical coefficients, standard errors, F- statistics and RMSEs. What is not equivalent? These are just two different ways of implementing the LSDV (least squares dummy variable) approach, taking into account the loss of d.f.


Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/




© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index