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st: AW: R2 in a regression with time and fixed effects


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: R2 in a regression with time and fixed effects
Date   Fri, 30 Oct 2009 13:10:43 +0100

<> 

Take your cue from the example in Baum (2006),
http://www.stata-press.com/books/imeus.html, chapter 9, where the decrease
in the overall R2 is also present (although the word "huge" is debatable):


*************
u http://www.stata-press.com/data/imeus/traffic, clear

xtreg fatal beertax spircons unrate perincK, fe

quietly tabulate year, generate(yr)
local j 0
quietly forvalues i=82/87 {
	local ++j
	rename yr`j' yr`i'
	replace yr`i' = yr`i' - yr7
}
drop yr7

xtreg fatal beertax spircons unrate perincK yr*, fe
*************



HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von andrea
carrozzone
Gesendet: Freitag, 30. Oktober 2009 12:59
An: statalist
Betreff: st: R2 in a regression with time and fixed effects

Dear Statalist,
 
I ran a regression (xtreg command) with fixed effects (for 60 groups). I
then included time effects by putting a dummy for each year (7 years). I
notice that the R2 (overall) decreases hugely. 
 
I wonder if it is reasonable. Does it depend on the way the R2 overall is
computed with the xtreg command?
 
Thanks a lot, 
 
Andrea


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