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From |
Ronan Conroy <[email protected]> |

To |
"statalist hsphsun2.harvard.edu" <[email protected]> |

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

Date |
Tue, 28 Oct 2003 10:39:22 -0000 |

I've always been suspicious of the formulation 'percentage of variance explained' in particular. There is the underlying idea that 100% of the variance in the predicted variable can be 'explained' (I prefer 'associated with variation in the predictor variables'). This isn't the case. You would imagine that if you had weight in kilos and weight in pounds, then 100% of the variation in one is associated with variation in the other. In a real life case, we found that this was not so. Doctors who had weighed their patients had used either a metric or imperial weighing scales, and had converted the result so as to be able to fill in the weight as both pounds and kilos. The errors and inaccuracies of the different methods they had used meant that there was a less than perfect correlation between the two. Errors in measurement will always place a ceiling on the amount of variation shared between a number of variables. Unless you know what this ceiling is, the idea that r^2 can reach the magic figure of 100% is a will of the wisp, leading you astray. Ironically, there is a lot of attention paid to R^2 in psychology, a discipline in which imperfect measurement abounds. But fundamentally, I agree with Nick Cox: R^2 tells you nothing of the utility of the model, either from the theoretical or practical standpoint. As a sole criterion for model selection, it should only be used when there is no-one in the office capable of formulating a theory (and the cleaners have gone home). Ronan M Conroy ([email protected]) Lecturer in Biostatistics Royal College of Surgeons Dublin 2, Ireland +353 1 402 2431 (fax 2764) -------------------- Join the big noise www.maketradefair.org * * 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: definition of pseudo R^2 for dprobit or probit***From:*Richard Williams <[email protected]>

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