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From |
"alopca2002" <[email protected]> |

To |
[email protected] |

Subject |
Re: st: help with R-square of xtreg,fe and areg (fwd) |

Date |
Sat, 25 Oct 2003 10:18:41 -0000 |

Dear Jayesh I have asked myself the same question just a week ago and i think i can give you an interpretation. I runned the same model in Stata and in LIMDEP because the differences found in the R squared. In LIMDEP the R squared was bigger but coeficientes and t ratios were the same!!! The R-squared provided by STATA with xtreg responds only to the effects of the independient variables, nor the fixed effects. The overall R-squared reported by STATA correponds to the R-squared (no adjusted)in LIMDEP in other models. I renember to read a text on the official STATA website explaining the differences in the xtreg and areg R squared, but i cant find it. In the construction of the R squared of xtreg fixed effects impact is droped. So, what is the most suitable R squared???? I think that it depends on your results. In my model i am gonna use the areg R squared and explain the composition of it. Hope it helps. Alfredo L�pez Universidad de Zaragoza Zaragoza (Spain) --- In [email protected], JAYESH KUMAR <jayesh@i...> wrote: > Dear Statalisters, > I have posted this mail a week before, but didn't get any response. > I am sending it again in the hope someone may help me. > -Jayesh > > ---------- Forwarded message ---------- > Date: Fri, 17 Oct 2003 23:20:49 +0530 (IST) > From: JAYESH KUMAR <jayesh@i...> > To: statalist@h... > Subject: help with R-square of xtreg,fe and areg > > Dear Users, > > I have a basic question regarding the difference in xtreg,fe and areg. > Which R-square should I report in my results? R-sq: within, between or > overall obtained from xtreg,fe or shall I report R-squared or Adjusted > R-squared obtained from the areg. > > I am inclosing the output from the two commands. As you can clearly see > that both results are same in terms of coeff, p-value, F-stats, etc. The > only difference is with different R-squares. I am bit puzzled here, which > R-sq should I report in my final tables. I am using Stata 7. > > Any suggestion would be of help. Is there any reference, in which I can > find the differences in R-squares, in terms of interpretation, rather than > derivation? > > TIA, > > -Jayesh Kumar > ********************************************************************** ** > JAYESH KUMAR, > Research Scholar, > Indira Gandhi Institute Of Development Research (IGIDR), > Gen. Arun Kumar Vaidya Marg, > Santosh Nagar, Goregaon (East), Mumbai-400065, INDIA. > Tel # + 91 (22) 2840 0919/0920/0921 Extn. 591(Office) 263 (Residence) > Fax # + 91 (22) 2840 2752/2026 > visit: www.igidr.ac.in/~jayesh > SSRN Papers on the web at: > http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=333715 > ********************************************************************** ** > When I don't know what I'm doing I'm doing Research! > > > > > OUT PUT: > ====================================================================== ========== > > > . xtreg inc age pq_a,fe > > Fixed-effects (within) regression Number of obs = 5132 > Group variable (i) : ind Number of groups = 2524 > > R-sq: within = 0.0485 Obs per group: min = 1 > between = 0.0045 avg = 2.0 > overall = 0.0054 max = 7 > > F(2,2606) = 66.35 > corr(u_i, Xb) = -0.8909 Prob > F = 0.0000 > > -------------------------------------------------------------------- ---------- > inc | Coef. Std. Err. t P>|t| [95% Conf. Interval] > -------------+------------------------------------------------------ ---------- > age | -.0107904 .0009367 -11.52 0.000 - .0126272 -.0089536 > pq_a | 9.67e-06 .0000694 0.14 0.889 - .0001265 .0001458 > _cons | .3441254 .0208627 16.49 0.000 .3032161 .3850346 > -------------+------------------------------------------------------ ---------- > sigma_u | .26712239 > sigma_e | .07998241 > rho | .91772273 (fraction of variance due to u_i) > -------------------------------------------------------------------- ---------- > F test that all u_i=0: F(2523, 2606) = 4.40 Prob > F = 0.0000 > > > > > . areg inc age pq_a,absorb(ind) > > Number of obs = 5132 > F( 2, 2606) = 66.35 > Prob > F = 0.0000 > R- squared = 0.8109 > Adj R- squared = 0.6277 > Root MSE = .07998 > > -------------------------------------------------------------------- ---------- > inc | Coef. Std. Err. t P>|t| [95% Conf. Interval] > -------------+------------------------------------------------------ ---------- > age | -.0107904 .0009367 -11.52 0.000 - .0126272 -.0089536 > pq_a | 9.67e-06 .0000694 0.14 0.889 - .0001265 .0001458 > _cons | .3441254 .0208627 16.49 0.000 .3032161 .3850346 > -------------+------------------------------------------------------ ---------- > ind | F(2523, 2606) = 4.399 0.000 (2524 categories) > > > > > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: help with R-square of xtreg,fe and areg (fwd)***From:*JAYESH KUMAR <[email protected]>

**References**:**st: help with R-square of xtreg,fe and areg (fwd)***From:*JAYESH KUMAR <[email protected]>

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