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Re: st: R-Squre for Fixed Effects


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: R-Squre for Fixed Effects
Date   Wed, 8 Feb 2012 15:10:58 +0000

Things all called R-square are not defined in the same way. So, you
should go with whichever model best matches your scientific (rather,
economic) purpose; you may need to consult the manual documentation to
see the formula used.

Nick

On Wed, Feb 8, 2012 at 3:02 PM, Ozgur Ozdemir <ozdemirozgur@hotmail.com> wrote:

> I run the following on Stata with year and industry dummies. Stata drops the industry anyway due to industry being a time invariant variable:
>  eststo:  xi : xtreg  tobin_q  other variables i.year i.icb_suprsectr_code, fe when I looked the stata  output, I have
>
> R-sq:  within  = 0.1648                               between = 0.0926                                    overall = 0.0661
>
> if I run the same model with areg I get around 0.14 R-Squre and 0.13 Adj R Square. I am not sure which R I need to use from the fixed effect output. In addition, when I export the output to excel, it gives adj-R Square which is -0.04. I did not see anything on the stata output called adj-R square so it is confusing? Please can you advice.

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