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Re: st: root mean square error for random-effects model

From   Muhammad Anees <>
Subject   Re: st: root mean square error for random-effects model
Date   Sat, 8 Sep 2012 08:16:07 +0500

You have been already answered by Scot on your similar post with a
different title. What would you need to know beside Scot's following

webuse grunfeld,clear
qui xtreg invest kst, fe
predict double e, e
gen double e2 = e^2
sum e2
disp sqrt(r(sum)/(e(N) - e(N_g)  - 2 + 1 ))
qui xtreg invest kst, fe,
disp e(rmse)

So I think that is what your question needed in response. Cheers Scot.

Good Way

On Sat, Sep 8, 2012 at 12:22 AM,  <> wrote:
> 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 ( ) ?
> I checked the manual (
> only describes how
> rmse is defined for be and fe options, but not re. I also checked xtreg.ado
> ( but cannot see how e(rmse) is
> defined there.
> Thanks very much,
> Tin Lin
> *
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Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
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