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Re: st: R squared of OLS with dummy variables

From   Stefano Lugo <>
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.


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
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: )

Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
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Stefano Lugo, PhD
Politecnico di Milano Leonardo da Vinci 32
20133 Milan, Italy

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