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From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

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

Subject |
RE: st: list x matrix |

Date |
Mon, 29 Mar 2010 12:29:41 +0100 |

The approach that Kit recommends is spelled out at greater length in 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 The Statalist FAQ does draw attention to the FAQs as a way of answering many questions. -search- does search the FAQs as well. Nick n.j.cox@durham.ac.uk Kit Baum replied to Richard Boylan Richard Boylan ============== The problem was as follows. The regression is y = x b + e. (1) However, to estimate it (b/c of a variety of issues such autocorrelation, system of equation with correlated errors), the model that I end up estimating is yt = xt b + z c + v, (2) where yt is a transformation of y, xt is a transformation of x, and z are variables from the other regressions. So, what I need to do is to get the estimates of b from (2) and plug back into (1) to compute my R^2. Kit Baum ======== An R^2 measure for any model can almost always be computed from the simple correlation between Y and Yhat, so if you can construct a predicted value from the equation you estimate "if e(sample)" for yt, and apply the inverse transformation that gets you back to yhat, just compute the square of that correlation. * * 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: list x matrix***From:*richard boylan <richardtb25@gmail.com>

**References**:**re: st: list x matrix***From:*Kit Baum <kitbaum@me.com>

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