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From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

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

Subject |
RE: st: Validity of R Square with -nl- Regressions |

Date |
Fri, 20 Jun 2008 13:24:23 +0100 |

Funny. Maarten sees this definition as "obvious", and I do understand why. I was brought up an old-fashioned way with lots of correlation before regression and still tend to see the definition of R-square as the square of the correlation between observed and fitted as the "obvious" one. No doubt there are now people who see a definition in terms of likelihood results as the "obvious" one. Nick n.j.cox@durham.ac.uk Maarten buis --- "Matthias Flueckiger" wrote: > I'm estimating a function by the -nl- method. The estimates I get > for the coefficients seem ok. The same as when I use MATLAB. But > concerning the R square reported I have my doubts. They are always > extremly high (>0.99). But when plotting the fitted function against > the real data, the match does not seem very good (at least not as > good as the R square suggests). > > My questions are therefore: > - is the r square really the appropriate measure for the fit for > -nl- regressions? If yes is there an explanation why it is so high > (compared when plotting the curves) The R square reported by -nl- means what it is supposed to mean: the proportion of variance explained by the model. It is not some kind of pseudo-rsquare which can have a very different meaning than the `real' r-square. > - how does Stata calculate the r square, and is there a way I can > calculate it 'manually'? (Is it the same formula as with linear > regressions? Probably not...) Below I show two ways of computing the R-square: the obvious one: R-square = moddel sum of squares / total sum of squares, and a method discussed here: http://www.stata.com/support/faqs/stat/rsquared.html *---------- begin example ------------ sysuse auto, clear nl (mpg = {b0} + {b1}/headroom) di e(mss)/e(tss) predict yhat if e(sample) corr yhat mpg if e(sample) di r(rho)^2 *----------- end example ------------- (For more on how to use examples I sent to the Statalist, see http://home.fsw.vu.nl/m.buis/stata/exampleFAQ.html ) Hope this helps, Maarten ----------------------------------------- Maarten L. Buis Department of Social Research Methodology Vrije Universiteit Amsterdam Boelelaan 1081 1081 HV Amsterdam The Netherlands visiting address: Buitenveldertselaan 3 (Metropolitan), room Z434 +31 20 5986715 http://home.fsw.vu.nl/m.buis/ ----------------------------------------- __________________________________________________________ Sent from Yahoo! Mail. A Smarter Email http://uk.docs.yahoo.com/nowyoucan.html * * 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/

**Follow-Ups**:**RE: st: Validity of R Square with -nl- Regressions***From:*Richard Williams <Richard.A.Williams.5@ND.edu>

**References**:**st: Validity of R Square with -nl- Regressions***From:*"Matthias Flueckiger" <matthias.flueckiger@gmx.ch>

**Re: st: Validity of R Square with -nl- Regressions***From:*Maarten buis <maartenbuis@yahoo.co.uk>

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