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Re: st: adjusted r-squared, regress with pweight

From   David Kantor <>
Subject   Re: st: adjusted r-squared, regress with pweight
Date   Thu, 13 May 2010 10:38:52 -0400

Many thanks to Steve Samuels, Martin Weiss, and Stas Kolenikov for their replies.

At 08:59 AM 5/13/2010, you wrote:
I think that the adjusted r-square reported after -reg- with [pweight]
is in error and that the displayed R-square is, in fact, adjusted
R-square.   I ran  three weighted regressions (code below)

I also directly calculated the adjusted r-square from svy: reg from
the weighted estimates of mean square error Ve and population variance
 V: adjusted R-square = 1- Ve/V.  ( agree with Stas that this has
little practical value when data are heteroskedastic and clustered--it
refers to

The results were:
                  Displayed R-square   Adjusted r-square:
reg [pw]     0.6300                   0.6188 (e(r2_a)
reg [fw]      0.6300                   0.6268 (displayed)
svy: reg     0.6300                   0.6300 (direct)

sysuse auto,clear
reg mpg  length trunk [pw=rep78]
di e(r2_a)   //adjusted r-square
reg mpg  length trunk [fw=rep78]

svyset _n [pweight=rep78]
svy: reg mpg length trunk


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