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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 21:31:30 -0500

At 08:04 PM 10/27/2003 -0600, Scott Merryman wrote:

[R] maximize, Methods and Formulas section

Pseudo R2 = 1 - L1/L0, where L1 is the log likelihood of the full model and L0
is the log likelihood of the constant-only model.
That is one of a couple of equivalent formulas but probably the simplest to write in an email message! Certainly clearer than what I wrote earlier.

As a sidelight, this is one of many statistics that claims the name of "Pseudo R2". It would be nice if Stata explicitly labeled it as McFadden's R2, and perhaps reported a couple of the other alternatives in case anybody wants them.

Of the various alternatives, McFadden's R2 seems to have emerged as the favorite and best. Anybody strongly disagree and think something else is better?

Richard Williams, Associate Professor
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