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Re: st: RE: Adj-R2 becomes too low with XTIVREG2?


From   Erasmo Giambona <e.giambona@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Adj-R2 becomes too low with XTIVREG2?
Date   Fri, 27 Mar 2009 14:15:26 +0100

Dear Statlist,

Sorry to be here again, but I think this might be interesting to everybody.

I think I have actually found the source of the apparent discrepancy.
It turns out that xtreg does not include the number of groups in the
denominator of the formula to calculate the adj-r2 if one clusters at
the group level. xtivreg2 always includes the number of groups in the
denominator of the formula whether or not one clusters at the group
level.

I really hope Mark Schaffer could comment on this.

Regards,

Erasmo



On Fri, Mar 27, 2009 at 10:39 AM, Erasmo Giambona <e.giambona@gmail.com> wrote:
> Dear Statalist,
>
> I posted a message a few days ago about the Adj-R2 with xtivreg2.
> Following a suggestion of Nick Cox, I posted a code (and data) that
> exactly replicates my commands.
>
> I will try to reformulate my question with the hope that somebody can
> provide some suggestions on how to interpret my output. Here it is: I
> fit exactly the same model with xtreg and xtivreg2. R2 and Adj-R2 are
> about 0.20 with xtreg. R2 and Adj-R2 are respectively about 0.20 and
> 0.02 with xtreg and xtivreg2. I am puzzled by the drop in the Adj-R2
> in this latter case. My question is: could this drop by explained by
> the poor properties of the Adj-R2 with IV regressions?
>
> I would also be happy to pass my data and code to anybody who can
> provide further insights.
>
> Thanks and regards,
>
> Erasmo
>
>
>
>
> On Wed, Mar 25, 2009 at 6:19 PM, Erasmo Giambona <e.giambona@gmail.com> wrote:
>> Here is the exact code I am using based on data (also attached) from
>> help q_cross.
>>
>> Thanks,
>>
>> Erasmo
>>
>> On Wed, Mar 25, 2009 at 5:46 PM, Nick Cox <n.j.cox@durham.ac.uk> wrote:
>>> I am just asking for more information on behalf of those who might
>>> answer this question.
>>>
>>> I understand that your dataset is too big to post here, but that's all
>>> the more reason to strain to reproduce the behaviour you report in
>>> something mutually accessible, say one of the datasets downloadable via
>>>
>>> . help q_cross
>>>
>>> I can't see anywhere in your reply the precise commands you used. That
>>> means a do file, or equivalent. It means exact code. It means something
>>> reproducible. You don't need more "hints": just do what I say!
>>>
>>> Nick
>>> n.j.cox@durham.ac.uk
>>>
>>> Erasmo Giambona
>>>
>>> Thanks Nick.
>>>
>>> It is a very large dataset, but I would still be happy to pass it to
>>> Mark Scaffer.
>>>
>>> In any case, I will also try to provide more details about the
>>> commands and the data.
>>>
>>> I am using an unbalanced panel dataset of firms over a period of about
>>> 10 years. For both xtreg and xtivreg2 I am fitting exactly the same
>>> model. In both cases, I cluster the standard errors at the firm level
>>> and I use fe i(firm). In the iv-model, three of the independent
>>> variables are assumed endogenous.
>>>
>>> I hope I have not missed anything else.
>>>
>>> Any hints would be appreciated,
>>>
>>> Erasmo
>>>
>>>
>>> On Wed, Mar 25, 2009 at 5:06 PM, Nick Cox <n.j.cox@durham.ac.uk> wrote:
>>>> -xtivreg2- is a user-written command from SSC (Mark Schaffer).
>>>>
>>>> For Mark, or anybody else, to have anything much to work with here,
>>> tell
>>>> us about the data and the precise commands you used.
>>>>
>>>> Ideally, reproduce your results on a dataset accessible to all, or let
>>>> Mark privately have a copy of your data _and_ your commands.
>>>>
>>>> Otherwise there is little to go on here. It's not even clear that you
>>>> are fitting precisely the same model, or equivalent models.
>>>>
>>>> More attention to age-old advice in the FAQ, often repeated on the
>>> list,
>>>> would have yielded a question easier to answer.
>>>>
>>>> Nick
>>>> n.j.cox@durham.ac.uk
>>>>
>>>> P.S. no SHOUTING of command names please.
>>>>
>>>> Erasmo Giambona
>>>>
>>>> I am estimating the panel regression model with XTREG and XTIVREG2.
>>>> When I use XTREG, I obtain an adj-R2 of around 0.21. The within and
>>>> between R2's have a similar size. Similarly, when I use XTIVREG2, the
>>>> centered and uncentered R2 are around 0.20. However, if I do: . di
>>>> "R2-adj: " e(r2_a), I get: R2-adj: .02060245. This sems a huge drop
>>>> compared to the centered/uncentered R2 or the adj-R2 from XTREG.
>>>>
>>>> I have explored the statalist archive finding a lot of very useful
>>>> information about the nuances with the R2 with IV regressions, but I
>>>> didn't find a good answer to my question.
>>>>
>>>> I would appreciate any hints on this issue.
>>>
>>> *
>>> *   For searches and help try:
>>> *   http://www.stata.com/help.cgi?search
>>> *   http://www.stata.com/support/statalist/faq
>>> *   http://www.ats.ucla.edu/stat/stata/
>>>
>>
>

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