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st: RE: pseudo r2


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: pseudo r2
Date   Fri, 7 Nov 2008 18:45:11 -0000

Stata's definition appears to be 1 -  e(sum_adev) / e(sum_rdev) in this
case. 

That's unlike any other definition of pseudo-R^2 that's popular, but it
is natural for a method based on L1-norm (or whatever notation you use).


This underlines one of several problems with these measures: there are
so many to choose from. 

See also 

FAQ     . . . . . . . . . . . . . . . . . . . . . . . Do-it-yourself
R-squared
        9/03    How can I get an R-squared value when a Stata command
                does not supply one?
                http://www.stata.com/support/faqs/stat/rsquared.html

FAQ     . . . . . . . . . . . . . . . . . . . . . . . . . R-square after
xtgls
        4/03    Why does xtgls not report an R-square statistic?
                http://www.stata.com/support/faqs/stat/xtgls2.html

FAQ     . . . . . . . . . . . . . . . . . . . .  Missing R-squared for
2SLS/IV
        1/03    For two-stage least-squares (2SLS/IV/ivreg) estimates,
why
                is the R-squared statistic not printed in some cases?
                For two-stage least-squares (2SLS/IV/ivreg) estimates,
why
                is the Model Sum of Squares sometimes negative?
                For two-stage least-squares (3SLS/IV/ivreg) estimates,
why
                are the R-squared and Model Sum of Squares sometimes
                negative?
                http://www.stata.com/support/faqs/stat/2sls.html

FAQ     . . . . . . . . . . . . . . . . . . . .  Pseudo R-squared for
xtprobit
        10/01   How can I calculate the pseudo R-squared for xtprobit?
                http://www.stata.com/support/faqs/stat/xtprobit.html

FAQ     . . . . . . . . . . . . . . . . . . . . . . . . . Pseudo-R^2 for
tobit
        6/97    Why is the pseudo-R^2 for tobit negative or greater
                than 1?
                http://www.stata.com/support/faqs/stat/pseudor2.html

FAQ     . . . . . . . . . . . . . . . . . .  R-squared:  areg versus
xtreg, fe
        9/96    Why isn't the calculation of R2 the same for areg
                and xtreg, fe?
                http://www.stata.com/support/faqs/stat/xtr2.html


Nick 
n.j.cox@durham.ac.uk 

markus.klemusch.m.k@gmx.de


I run a median-regression (qreg) and I wanted to save the "pseudo r2" by
using commands like e() or local
but without success. 

gen r2=e(r2) is fine is case of OLS (reg[, robust]) 
How can I do the same or something similar after running a
median-regression?

People express doubt and concern about the pseudo r2 (according to the
internet).
Is it a second best solution or even a bad solution?


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