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st: RE: adjusted r square

From   "Ranjita majumder Singh" <Ranjita.Singh00@Rotman.Utoronto.Ca>
To   <>
Subject   st: RE: adjusted r square
Date   Mon, 19 Feb 2007 21:55:51 -0500

Thank you
Ph.D candidate Strategy and Organization Theory
Rotman School of Management
University of Toronto
105 St. George St
Toronto, ON


From: on behalf of Kit Baum
Sent: Mon 2/19/2007 8:27 PM
Subject: st: adjusted r square

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
An Introduction to Modern Econometrics Using Stata:

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