Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: R squared of OLS with dummy variables


From   Stefano Lugo <stefano.lugo@mail.polimi.it>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: R squared of OLS with dummy variables
Date   Fri, 06 Jul 2012 12:08:31 +0200

Thank you, I didn't know about the hascons option at all and I erroneously thought nocons works as hascons actually does.

Of course writing x instead of fit in the reported code was a typo, I apologize for that. For the record the other software was gretl, which apparently use an hascons option by default when the constant is not included.

Best

Il 06/07/2012 11:37, Maarten Buis ha scritto:
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
--------------------------
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



--
Stefano Lugo, PhD
Politecnico di Milano
P.za Leonardo da Vinci 32
20133 Milan, Italy

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index