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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 > * > * 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/ -- 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/

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

**st: root mean square error for random-effects model***From:*matif1@yahoo.com

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