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Re: st: Fixed effects regression and r-squared values


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Fixed effects regression and r-squared values
Date   Mon, 10 Oct 2011 16:44:46 +0200

On Mon, Oct 10, 2011 at 4:15 PM,  <martin.r.carey@uk.pwc.com> wrote:
> Has anyone an idea why a fixed effects regression with 'outliers' included
> would have an R2 of 0.025 and then with 'outliers' removed and it jumps to
> 0.940?

R2 is the proportion explained variance. If you exclude `outliers' you
will (greatly) reduce the total variance in y, and since you labelled
them as outliers, the removed variance was in all likelihood not well
explained by your model. In those cases you would expect the R2 to
increase. However, in general you should only compare R2s when the
models are estimated on exactly the same sample _and_ you use exactly
the same dependent/explained/left-hand-side/y variable. Moreover, even
though I would expect an increase, that change looks suspiciously
large to me.

Hope this helps,
Maarten

--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany


http://www.maartenbuis.nl
--------------------------
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