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Re: st: adjusted R2 in survey regression


From   "Stas Kolenikov" <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: adjusted R2 in survey regression
Date   Wed, 15 Oct 2008 17:01:23 -0500

On Wed, Oct 15, 2008 at 2:23 AM, Aca N.T. <acant29@gmail.com> wrote:
> I'm puzzled with model building using -svy: reg- for there is no
> adjusted R squared produced.
> Is there an alternative test for this?

Uhm... alternative test for what?

If Stata does not produce something really obvious, like R2 or
adjusted R2, then it means they looked into this and decided it had
dubious statistical properties. R2 is an iid data concept: each
residual is a random variable that has a certain variance, and that
variance is the same for all observations. The complex survey setting
does not really have that concept: the explanatory and response
variables are in fact fixed, and the randomness comes from sampling
procedure only. The regression formulas may look the same (in the end,
there are just this many ways to minimize a sum of squares...) but
interpretation of a few things is different. So one can probably talk
about population variance of residuals, as a relatively meaningful
quantity, but there is no analogue of the concept of the variance of
each individual residual -- that's a fixed quantity. If there is no
population analogue of R2, it should not be reported to the user, and
that makes perfect sense.

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
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