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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

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

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

Date |
Fri, 27 Mar 2009 13:51:08 -0000 |

Erasmo, You've got a good question here. The rationale for -xtivreg2-'s behaviour is straightforward. The formula for adjusted R2 is: Adjusted R2 = 1- (1 - R2 )((n - 1)/(n - k - 1)) The VCV doesn't figure in this, so I don't see why the dof adjustment for adjusted R2 should change simply because the user asked for a cluster-robust VCV. Thus -xtivreg2- reports the same R2 and adjusted R2 whether or not -cluster- is specified. Why official -xtreg, fe- should change the dof adjustment when someone changes the way the VCV is calculated - but not the way R2 is calculated! - is a mystery to me. Cheers, Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Erasmo Giambona > Sent: Friday, March 27, 2009 1:15 PM > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: RE: Adj-R2 becomes too low with XTIVREG2? > > 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/ > >>> > >> > > > > * > * 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/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * 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/

**Follow-Ups**:**Re: st: RE: Adj-R2 becomes too low with XTIVREG2?***From:*Erasmo Giambona <e.giambona@gmail.com>

**References**:**st: Adj-R2 becomes too low with XTIVREG2?***From:*Erasmo Giambona <e.giambona@gmail.com>

**st: RE: Adj-R2 becomes too low with XTIVREG2?***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**Re: st: RE: Adj-R2 becomes too low with XTIVREG2?***From:*Erasmo Giambona <e.giambona@gmail.com>

**RE: st: RE: Adj-R2 becomes too low with XTIVREG2?***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**Re: st: RE: Adj-R2 becomes too low with XTIVREG2?***From:*Erasmo Giambona <e.giambona@gmail.com>

**Re: st: RE: Adj-R2 becomes too low with XTIVREG2?***From:*Erasmo Giambona <e.giambona@gmail.com>

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