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Re: st: R squared of OLS with dummy variables


From   Maarten Buis <maartenlbuis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: R squared of OLS with dummy variables
Date   Fri, 6 Jul 2012 11:37:29 +0200

On Fri, Jul 6, 2012 at 10:57 AM, Stefano Lugo wrote:
> I am estimating an OLS model which include dummy variables along with other
> regressors.
> If - instead of dropping one dummy due to collinearity - I drop the
> constant, I get the same estimation for variables (including the
> dummy/constant) coefficients and standard errors as expected but a very
> different R squared of the model.

That is what the -hascons- option is for:

*-------- begin example -----------
sysuse auto, clear
reg price ibn.foreign mpg, hascons
reg price i.foreign mpg
*--------- end example ------------
(For more on examples I sent to the Statalist see:
 http://www.maartenbuis.nl/example_faq )


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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