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st: RE: XTLSDVC and R-squared

From   "Rodrigo Alfaro A." <>
To   <>
Subject   st: RE: XTLSDVC and R-squared
Date   Mon, 14 Apr 2008 10:08:07 -0400


I will report the within R2, but is the LDV+FE coefficient close to the
one in -xtlsdvc-? 




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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