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From |
Christopher Baum <Baum@bc.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: re: list X matrix |

Date |
Mon, 29 Mar 2010 14:23:01 -0400 |

<> Thanks but the question was not on how to compute the R^2 but on how to compute Xb, so the Statlist FAQ would not have helped. On Mon, Mar 29, 2010 at 6:29 AM, Nick Cox <n.j.cox@durham.ac.uk> wrote: > 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. > > But you said you estimated (2). If you estimated it with Stata, the command almost surely has a predict option. The predictions of yt are related to the predictions of y by the inverse transformation. So use predict after estimating (2) to compute yt-hats, transform them back to y space. You then have yhats. You did say you wanted to compute an R^2, and this is how to do it. Compute the squared correlation of y and yhat. Kit Baum | Boston College Economics and DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * 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: list X matrix***From:*richard boylan <richardtb25@gmail.com>

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