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st: R2's from xtreg


From   Daifeng He <dhe.statlist@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: R2's from xtreg
Date   Wed, 16 Nov 2011 22:28:39 -0500

Hi there,

I have a question about the different R2's reported after -xtreg, fe-.
  The "xtreg" entry in the Stata Manual explains the difference
between the three R2 reported by -xtreg, fe-, so I understand that the
"within R2" is the R2 from the demeaned regression, but I am having a
hard time in understaing the "overall R2."  The manual seems (to me)
to say that the overall R2 is the R2 from the fixed effect model
before the demeaning, then shouldn't this R2 be the same as the R2
from the -areg-?  But they are different!  Can somebody help?

Here is what the Manual Says:  the overall R2 corresponds to Eq(1),
the between R2 corresponds to Eq(2), and the within R2 corresponds to
Eq(3).  (Sorry, the equations are uly and hard to read, but Statlist
does not allow formatting..)


y_it_hat = a + b*x_it                       (1)
y_it_bar = a + b*x_it_bar                 (2)
(y_it-y_i_bar)= b*(x_it - xi_bar)         (3 )


Thanks very much for any help,

Daifeng
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