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st: RE: R-squared after -heckman- or -treatreg-


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: R-squared after -heckman- or -treatreg-
Date   Tue, 28 Apr 2009 13:58:35 +0100

This kind of question has been much discussed in several recent threads,
with links to further sources of information. 

One repeated comment in those threads is that it makes little sense to
talk about R-squared without qualification. Outside plain regression
there are several definitions, which need not agree. 

See the archives and the results of (e.g.) -search r-square, faq-. 

I've done it for you: 

. search r-square, faq

Keyword search

        Keywords:  r-square
          Search:  (1) Official help files, FAQs, Examples, SJs, and
STBs

Search of official help files, FAQs, Examples, SJs, and STBs


FAQ     . . . . . . . . . . . . . . . . . . . . . . . Do-it-yourself
R-squared
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  N.
J. Cox
        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
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  A.
McDowell
        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
        . . . . . . . . . . . . . . . .  W. Sribney, V. Wiggins and D.
Drukker
        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
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . W.
Gould
        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
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . W.
Sribney
        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
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . W.
Gould
        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

FAQ     . . . . . .  How can I get an R-squared with robust regression
(rreg)?
        . . . . . . . . . . . . . . . . . .  UCLA Academic Technology
Services
        10/08   http://www.ats.ucla.edu/stat/stata/faq/rregr2.htm

FAQ     . . . . . . . . . . . . . . . .  Annotated output: Regression
analysis
        . . . . . . . . . . . . . . . . . .  UCLA Academic Technology
Services
        11/08   http://www.ats.ucla.edu/stat/stata/output/reg_output.htm

FAQ     . . . . . . . . . . . . . . . . .  Annotated output: Probit
regression
        . . . . . . . . . . . . . . . . . .  UCLA Academic Technology
Services
        10/08
http://www.ats.ucla.edu/stat/stata/output/Stata_Probit.htm

FAQ     . . . .  Annotated output: Zero-truncated negative binomial
regression
        . . . . . . . . . . . . . . . . . .  UCLA Academic Technology
Services
        10/08   http://www.ats.ucla.edu/stat/stata/output/Stata_ZTNB.htm

FAQ     . . . . . . . . . . . . Annotated output: Negative binomial
regression
        . . . . . . . . . . . . . . . . . .  UCLA Academic Technology
Services
        9/08    http://www.ats.ucla.edu/stat/stata/output/
                stata_nbreg_output.htm

FAQ     . . . . . . . . . Annotated Stata output: Logistic regression
analysis
        . . . . . . . . . . . . . . . . . .  UCLA Academic Technology
Services
        7/08
http://www.ats.ucla.edu/stat/stata/output/stata_logistic.htm

FAQ     . . . . . . . . . .  Annotated output: Multinomial logistic
regression
        . . . . . . . . . . . . . . . . . .  UCLA Academic Technology
Services
        7/08    http://www.ats.ucla.edu/stat/stata/output/
                stata_mlogit_output.htm

FAQ     . . . . . . . . . . . .  Annotated output: Ordered logistic
regression
        . . . . . . . . . . . . . . . . . .  UCLA Academic Technology
Services
        7/08    http://www.ats.ucla.edu/stat/stata/output/
                stata_ologit_output.htm

FAQ     . . . . . . . . . . . . . . . . . Annotated output: Poisson
regression
        . . . . . . . . . . . . . . . . . .  UCLA Academic Technology
Services
        7/08    http://www.ats.ucla.edu/stat/stata/output/stata_poisson_
                output.htm

Example . . . . . . Textbook examples: Elementary Survey Sampling, 5th
Edition
        . . . . . . . . . . . . . . . . . .  UCLA Academic Technology
Services
        10/05   examples from the book Elementary Survey Sampling,
                Fifth Edition by Richard Scheaffer, William
                Mendenhall, & Lyman Ott
                http://www.ats.ucla.edu/stat/stata/examples/ess5/

Example . . Data analysis examples: Zero-inflated negative binomial
regression
        . . . . . . . . . . . . . . . . . .  UCLA Academic Technology
Services
        10/08   http://www.ats.ucla.edu/stat/stata/dae/zinb.htm

Example . . . . . . . Data analysis examples: Zero-inflated Poisson
regression
        . . . . . . . . . . . . . . . . . .  UCLA Academic Technology
Services
        7/08    http://www.ats.ucla.edu/stat/stata/dae/zip.htm

Example . . . . . . . Data analysis examples: Zero-truncated negative
binomial
        . . . . . . . . . . . . . . . . . .  UCLA Academic Technology
Services
        7/08    http://www.ats.ucla.edu/stat/stata/dae/ztnb.htm

Example . . . . . . . . . . . . . . . . Data analysis examples: Tobit
analysis
        . . . . . . . . . . . . . . . . . .  UCLA Academic Technology
Services
        7/08    http://www.ats.ucla.edu/stat/stata/dae/tobit.htm

Example . . . . . . . . . . . . .  Data analysis examples: Interval
regression
        . . . . . . . . . . . . . . . . . .  UCLA Academic Technology
Services
        7/08    http://www.ats.ucla.edu/stat/stata/dae/intreg.htm

Example . . . . . . . . . . . . . .  Data analysis examples: Probit
regression
        . . . . . . . . . . . . . . . . . .  UCLA Academic Technology
Services
        7/08    http://www.ats.ucla.edu/stat/stata/dae/probit.htm

Example . . . . . . . . .  Data analysis examples: Ordinal logistic
regression
        . . . . . . . . . . . . . . . . . .  UCLA Academic Technology
Services
        7/08    http://www.ats.ucla.edu/stat/stata/dae/ologit.htm


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

Shehzad Ali

Can someone please advise on why -heckman- and -treatreg- don't report
R-squared values? Also is it possible to get R-squared even if the
standard output doesn't report it? I want to compare two models in terms
of their explained variance. Is there a solution to this?


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