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From |
"Brent Fulton" <fultonb@berkeley.edu> |

To |
<statalist@hsphsun2.harvard.edu> |

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

Date |
Thu, 27 Sep 2007 08:21:53 -0700 |

Lloyd, for your clarity in reporting goal, another option is to run a constrained regression where all three dummies (as well as the constant term) are included in the model, but the parameter estimates on the three dummies are constrained to sum to zero. The interpretation of the dummy parameters are how the prediction deviates from the average (instead of how they deviate from the omitted category). This is explained in Suits (1984), and Stata can estimate this using -cnsreg-. Suits, Daniel B.(1984), "Dummy Variables: Mechanics V. Interpretation," The Review of Economics and Statistics, 66(1): 177-180. -Brent Fulton -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Lloyd Dumont Sent: Thursday, September 27, 2007 5:05 AM To: statalist@hsphsun2.harvard.edu Subject: st: interpreting R-squared when constant has been supressed 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 ____________________________________________________________________________ ________ Tonight's top picks. What will you watch tonight? Preview the hottest shows on Yahoo! TV. http://tv.yahoo.com/ * * 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/

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

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