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AW: st: Adjusted R2 for Driscoll Kraay SE


From   Benjamin Schmid <ben.schmid@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   AW: st: Adjusted R2 for Driscoll Kraay SE
Date   Thu, 28 Mar 2013 14:42:45 +0100

Thanks for the replies.
Sorry for the inaccurate description. Furthermore, there was no complaint
directed at the -estout- command at all, but rather a question on how to
retrieve values if they are not displayed. Hope the following information is
accurate.

I am using Stata/IC 12.0 for Windows (64-bit x86-64)
Revision 24 Aug 2011

I run following commands. 
1. -xtreg varlist, fe r- *! version 1.7.6  21jun2011
2. -estimates store applicationone-
3. -xtscc varlist, fe- *! xtscc, version 1.3, Daniel Hoechle, 10oct2011
4. -estimates store applicationtwo-
5. -xtreg varlist, re r- *! version 1.7.6  21jun2011
6. -estimates store applicationthree-

Then I run the -estout- command: I am using is *! version 3.13  06aug2009
Ben Jann.
The exact code I use is: -estout applicationone applicationtwo
applicationthree, cells(b(fmt(a3) star) t(par fmt(3))) stats(r2 r2_a N,
fmt(%9.3f %9.3f %9.0g) labels(R-squared R-squared_adjusted #_Observations))
starlevels(* 0.10 ** 0.05 *** 0.01) legend label postfoot(`"{hline @width}"'
`"t statistics in parentheses"')-

Stata then returns the R^2 and R^2_adj for the fixed effects -xtreg, fe r-
but does not display the R^2 and R^2_adj for the random effects -xtreg, re
r- or the -xtscc, fe-.

If I try to add the estimates as proposed by William using the -estadd
fitstat, e( r2_mfadj)- or -estadd  fitstat, e(r2_adj)- Stata returns:
-fitstat- does not work with the last model estimated. -estadd- *! version
2.3.1  07oct2009  Ben Jann

Thank you very much again
Ben


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Nick Cox
Gesendet: Donnerstag, 28. März 2013 13:50
An: statalist@hsphsun2.harvard.edu
Betreff: Re: st: Adjusted R2 for Driscoll Kraay SE

In similar spirit:

There can be no reasonable complaint here about -estout- (SJ/SSC).
-estout- can't display what it can't find.

Benjamin appears to be thinking that -xtscc- (SJ/SSC) leaves an adjusted R^2
in its wake as e(r2_a). That isn't correct. Perhaps there is scope to do
some extra calculation: I can't advise on that.

Benjamin should read again the Statalist FAQ, particularly with regard to
explaining (1) where user-written commands you refer to come from
(2) the exact code you typed and what Stata did. It is unclear here
precisely which command(s) preceded -estout-.

Nick

On Thu, Mar 28, 2013 at 12:32 PM, William Buchanan
<william@williambuchanan.net> wrote:

> Your issue is really with the user-written command -estout- (from SSC) and
not so much with the subject heading.  Look at the help file for the command
and see where the R2 and adjusted R2 are stored.  You may need to first use
-estadd- (which is part of the -estout- suite of programs) to add those
scalars to a place where the -estout- command can access them.

On Mar 28, 2013, at 4:43, Benjamin Schmid <ben.schmid@hotmail.com> wrote:

>> I am new to Stata and am currently analysing a panel applying the 
>> Driscoll Kraay SE as introduced into Stata by Daniel Hoechle. As I 
>> have not found a solution to my question in older posts I am not sure 
>> if the question may even be too trivial.
>>
>> If I run my regressions and then use the following command to create 
>> an output table I am not given the adjusted R2 value.
>> estout, cells(b(fmt(a3) star) t(par fmt(3))) stats(r2 r2_a N, 
>> fmt(%9.3f %9.3f %9.0g) labels(R-squared R-squared_adjusted 
>> #_Observations))
>> starlevels(* 0.10 ** 0.05 *** 0.01) legend label postfoot(`"{hline
@width}"'
>> `"t statistics in parentheses"')
>>
>> I can look up the R2 in the actual regression in Stata but not the 
>> Adjusted R2. Given the fact, that the R2 of the xtreg varlist, fe r 
>> command and using the xtscc varlist, fe command are the same (if I 
>> have the same variables), does this implicate that the Adj. R2 are also
identical?
>>

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