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Re: st: Re: st: Pseudo R² for xtlogit


From   Jeph Herrin <stata@spandrel.net>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: st: Pseudo R² for xtlogit
Date   Thu, 25 Apr 2013 09:52:25 -0400

I am not sure what the -r2_mz- command does, but in general there are a number of theoretical problems with calculating a single R2 for logistic random effects models. Certainly I would not expect any single metric of "variance explained" to be comparable between the -logit- and -xtlogit- models; for the -xtlogit-, there is variance explained at 2 different levels, and surprising things happen when you add explanatory variables. See for example [Snijders T & Boskers R, Multilevel Analysis: An introduction to basic and advanced multilevel modelling. Sage. 2012.], Chapter 17.

If your goal is to compare the performance of the two models, I suggest using the C-statistic, which can be compared directly.

Jeph


On 4/25/2013 8:25 AM, Andreas Schiffelholz wrote:
For both calculations I used Dirk's -r2_mz- comand, calculating the McKelvey & Zavoina's R². So if it is working with
both -logit- and -xtlogit-, I think it is calculationg the same. I just wanted to make sure the comand is working
correctly in both cases, that's why I asked.

Andreas

Am 25.04.2013 14:08, schrieb Nick Cox:
Among many other issues, you need to be clear that you are calculating
exactly the same thing. There are numerous different definitions of
Pseudo R-square. Only the same formula applied in different situations
is comparable.
Nick
njcoxstata@gmail.com


On 25 April 2013 12:42, Andreas Schiffelholz
<Andreas.Schiffelholz@gmx.de> wrote:
Dirk,

thank you very much, that helps a lot!

When I use this comand to calculate the Pseudo R2 for the -logit- and the
-xtlogit, re-, they differ a lot (e.g. 0.09 vs. 0.19). Is it normal that the
r2 differs so much between two models using the same independent variables
or can your command only be used for -xtlogit- and the -logit- is not
correct?

Cheers,
Andreas



* You can calculate McKelvey & Zavoina's R² using -r2_mz- from SSC, see
-findit r2_mz-.
*
* Dirk
*
* Wed, 24 Apr 2013 09:49:31 +0200, Andreas
Schiffelholz<Andreas.Schiffelholz@gmx.de> wrote:
Hello everybody,

I have a very basic question. I'm currently working on a logistic panel
regression with random effects -xtlogit, re-. While I'm able to
calculate pseudo R² for my pooled models with cluster-robust standard
errors -logit, cluster (...)-, I'm not able to calculate these for the
- -xtlogit, re- model.

Is there a way to calculate these pseudo R²? If not, what other
comparable criteria would you use instead?

Thanks a lot in advance!
Andreas Schiffelholz

========================================
Dr. Dirk Enzmann
Institute of Criminal Sciences
Dept. of Criminology
Rothenbaumchaussee 33
D-20148 Hamburg
Germany

phone: +49-(0)40-42838.7498 (office)
        +49-(0)40-42838.4591 (Mrs Billon)
fax:   +49-(0)40-42838.2344
email: dirk.enzmann@uni-hamburg.de
http://www2.jura.uni-hamburg.de/instkrim/kriminologie/Mitarbeiter/Enzmann/Enzmann.html
========================================
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