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


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: Validity of R Square with -nl- Regressions
Date   Fri, 20 Jun 2008 14:57:28 +0100 (BST)

Nice, but just to make sure my main point does not get confused: -nl-
reports Rsquare, not a pseudo-Rsquare. 

-- Maarten

--- Richard Williams <Richard.A.Williams.5@ND.edu> wrote:
> Continuing this sidelight - I give several formulas for OLS and their
> 
> logical Pseudo R^2 analogs at
> 
> http://www.nd.edu/~rwilliam/xsoc73994/L04.pdf
> 
> For OLS, the formulas all give the same results, but the Pseudo R^2 
> stats all give different numbers.  Counter to the claims of some, I 
> don't think logic alone clearly favors one Pseudo R^2 measure over
> another.
> 
> One thing I do find kind of remarkable is that the Maximum Likelihood
> R^2 (aka Cox-Snell) isn't just a logical analog - it is the exact 
> same formula for OLS R^2 and Pseudo R^2.  That might be why, as Nick 
> says, some may think this is the "obvious" measure.
> 
> I'm not quite sure why McFadden's Pseudo R^2 came to be blessed by 
> Stata, but I suppose it is as good as any.



-----------------------------------------
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/
-----------------------------------------


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