Statalist The Stata Listserver


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

st: RE: adjusted r square


From   "Ranjita majumder Singh" <Ranjita.Singh00@Rotman.Utoronto.Ca>
To   <statalist@hsphsun2.harvard.edu>
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
M5S3E6

________________________________

From: owner-statalist@hsphsun2.harvard.edu on behalf of Kit Baum
Sent: Mon 2/19/2007 8:27 PM
To: statalist@hsphsun2.harvard.edu
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
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/



*
*   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