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From |
JAYESH KUMAR <[email protected]> |

To |
<[email protected]> |

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

Date |
Sat, 25 Oct 2003 19:21:20 +0530 (IST) |

Thanks a lot! It's of great help, as I can defend the R-sq I am reporting in my results, by giving their construction. Thanks, -Jayesh On Sat, 25 Oct 2003, alopca2002 wrote: :Date: Sat, 25 Oct 2003 10:18:41 -0000 :From: alopca2002 <[email protected]> :Reply-To: [email protected] :To: statalist :Subject: Re: st: help with R-square of xtreg,fe and areg (fwd) : :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/ : * * 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/

**References**:**Re: st: help with R-square of xtreg,fe and areg (fwd)***From:*"alopca2002" <[email protected]>

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