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From |
Ulrich Kohler <kohler@wzb.eu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: interpreting R-squared when constant has been supressed |

Date |
Thu, 27 Sep 2007 14:41:25 +0200 |

Am Donnerstag, den 27.09.2007, 05:05 -0700 schrieb Lloyd Dumont: > Hello. I am running an OLS model in which > observations fall into one of three mutually-exclusive > and collectively-exhaustive categories. For clarity > in reporting, I thought it would be a good idea to > suppress the constant and report slope estimates for > all three dummies. > > If I run the model both ways (either with two dummies > and the constant vs. with all three dummies and no > constant), the estimates and the standard errors are > what they should be, i.e., are the same in relative > terms to one another in both models, same t-stats, > etc. But, without the constant, the R2 shoots up from > something like .11 to something like .68. > > I sort of understand conceptually how this could > happen--fit is now relative to zero than to the mean. > But... > > 1. Is my understanding correct? > 2. How can I explain this succinctly? > 3. Am I being deceptive to report the .68? > > Thank you. Lloyd Dumont Use option "hascons" togehter with "nocons". On that occasion: There is an article in a German econometrical/statistical journal, which heavily critizes Statistical packages (including Stata) for using the term "r-square" if the regression is forced through the origin. The authors emphasize that r-square cannot be interpreted in the usual way under this setting and should be therefore renamed or omitted from the output. Only "Minitab" does this. Ring/Ryll/Gaus (2006): Das Bestimmtheitsmaß R² bei linearen Regressionsmodellen mit und ohne Intercept -- die Tücken der Statistikprogramme Wirtschaft und Statistik, 2006, 11, 607-612. (The third author is Wilhem Gaus, not Carl Friedrich, btw) Many regards Uli * * 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/

**References**:**st: interpreting R-squared when constant has been supressed***From:*Lloyd Dumont <lloyddumont@yahoo.com>

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