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From |
matif1@yahoo.com |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: root mean square error for random-effects model |

Date |
Fri, 7 Sep 2012 12:22:42 -0700 (PDT) |

Dear Stata users, I'd like to learn how Stata calculates the root mean square error (e(rmse)) after fitting a simple linear random-effects model (xtreg, re)...can anyone shed some light for me? Specifically, (1) does the RMSE reported by Stata include all random-components, i.e. u_i and e_it, or simply e_it? (2) model degree of freedom: how is the model degree of freedom defined in the calculation? Does Stata take into account the number of clusters, in addition to the number of parameters in the slope of the linear model? One previous post has touched this issue but it didn't talk about random-effects model (http://www.stata.com/statalist/archive/2010-03/msg00941.html ) ? I checked the manual ( http://www.stata.com/features/panel-data/xtreg.pdf)..it only describes how rmse is defined for be and fe options, but not re. I also checked xtreg.ado (http://www.stata.com/updates/ado/xtreg.ado) but cannot see how e(rmse) is defined there. Thanks very much, Tin Lin * * 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/

**Follow-Ups**:**Re: st: root mean square error for random-effects model***From:*Muhammad Anees <anees@aneconomist.com>

**References**:**st: e(rmse) for xtreg, re ?***From:*matif1@yahoo.com

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