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st: Re: R2 in areg and R2 in xtreg


From   "Rodrigo A. Alfaro" <raalfaroa@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: R2 in areg and R2 in xtreg
Date   Mon, 28 May 2007 21:46:47 -0400

Herve,

You should send your emails in plain format... it is difficult to see your text with some weird symbols in between. About your question, it seems more interesting to see the within R2 if you are running FE models. That R2 can be obtained using -xtreg, fe-

R



----- Original Message ----- From: "Herve STOLOWY" <stolowy@hec.fr>
To: <statalist@hsphsun2.harvard.edu>
Sent: Monday, May 28, 2007 4:40 PM
Subject: st: R2 in areg and R2 in xtreg



Dear Statalisters:

There was a recent exchange of mails (http://www.stata.com/statalist/archiv=
e/2007-02/msg00617.html
) concerning the difference between the adjusted R-square obtained with -ar=
eg- and the overal r-square obtained with -xtreg-.

I run the following regressions:

xi: xtreg abs_SDA1 i.n_dvlpt4*suivi2 roa abs_roa chg_roa size lev growth , =
fe, if outlier1!=3D1

xi: areg abs_SDA1 i.n_dvlpt4*suivi2 roa abs_roa chg_roa size lev growth , a=
(gvkey) , if outlier1!=3D1

I get exactly the same figures (coefficients, F...). The only difference is=
related to R2: R2 overall =3D 2.53% with xtreg and Adjusted R-square =3D 2=
5.03% with areg.

What is the difference between the two R2? To be honest, I do not clearly u=
nderstand the explanation given by Mark in the answer to the previous threa=
d: "I suppose what is happening is that the areg R2 and adj R2 refer to the=
total variation in the dependent variable, whereas the FE R2 and adj R2 re=
fer to the variation in the demeaned dependent variable".

What does this mean? (I do not have the Stata manual on Panel data regressi=
ons).

Best regards

Herv=E9 Stolowy


***********************************************************
Professeur/Professor
HEC Paris
D=E9partement Comptabilit=E9 Contr=F4le de gestion / Dept of Accounting and=
Management Control
1, rue de la Liberation
78351 - Jouy-en-Josas
France
Tel: +33 1 39 67 94 42 - Fax: +33 1 39 67 70 86
mail: stolowy at hec dot fr
web: http://studies.hec.fr/web/stolowy

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