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st: XTLSDVC and R-squared


From   "Jon O'Brien" <Jon.OBrien@ucd.ie>
To   statalist@hsphsun2.harvard.edu
Subject   st: XTLSDVC and R-squared
Date   Mon, 14 Apr 2008 11:57:44 +0100

Hello,

 

I am using the XTLSDVC command to run a dynamic panel data model with fixed effects. I have a reviewer who is insistent that I supply and r-squared, although XTLSDVC does not supply one. As I understand it, the LSDVC is correcting bias in the coefficients and their standard errors, but overall model fit should be equivalent to the LSDV results (correct?). Thus, would it be appropriate to run an XTREG with the lag of the DV and fixed effects and use the R-squared from that regression? If so which R-squared should I report: within, between or overall?

 

 

Thank you for any help or suggestions,

 

Jon O’Brien

UCD School of Business

Dublin, Ireland

 




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