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RE: st: list x matrix


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.


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