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


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
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
response:

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
Anees

On Sat, Sep 8, 2012 at 12:22 AM,  <matif1@yahoo.com> 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 (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
> *
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> *   http://www.stata.com/help.cgi?search
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-- 

Best
---------------------------
Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
http://www.aneconomist.com
*
*   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/


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