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Re: st: definition of pseudo R^2 for dprobit or probit

From   Richard Williams <[email protected]>
To   [email protected]
Subject   Re: st: definition of pseudo R^2 for dprobit or probit
Date   Mon, 27 Oct 2003 18:04:15 -0500

At 04:21 PM 10/27/2003 -0500, Santiago Bazdresch wrote:
I cant seem to find the exact definition of the statistic "pseudo R^2" that stata 7 reports with probit or dprobit output.
anybody know it?
how should I find it?
Since it has been a few hours and no one more authoritative than me has chimed in yet -- In other Stata routines, e.g. Logistic regression, the pseudo R^2 used is also known as McFadden's R^2. I think that is the same as what is used in Stata Probit, but I could be wrong. A good discussion of this and other R^2 analogs can be found in Scott Menard's "Applied Logistic Regression Analysis 2nd Edition" (paper 106 in the green sage series on Quantitative Applications in the Social Sciences). If you're desperate for something quick on this, I have class notes (starting around p. 6) that discuss this stat at

It is hard to write out the formula here, but it is basically the chi-square for the current model divided by the chi-square for a model that has only the intercept included.

If I am horribly misleading Santiago here, I hope somebody else will step in and correct me! RW

Richard Williams, Associate Professor
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