Hi Dahlia
What you want for the RE is the overall R2. I guess the best place to
look for the formula is STATA's manual, or perhaps books on panel data
like Wooldridge, Hsiao or Baltagi.
Hope that helps,
Andrea
Quoting Dahlia El-Hawary <[email protected]>:
> Hi everyone,
> I would very much appreciate your help with my following question.
>
> I am estimating a panel data model using both the Random Effects
> Feasible Generalized Least Squares (REFGLS) and the Fixed Effects
> Within (FE) estimators.
>
> I know that the R- squared to be reported when using the FE estimator
>
> is the R- squared (Within), but which one to report for the REFGLS ?
>
> (In Stata output, I have three R-sqaured: overall, within & between).
>
> I guess for the REFGLS, the overall R-squared is more likely to be
> the
> correct one to be reported. Is that correct?.
>
> Is there any text book where I can read about the formula for
> calculating the R-squared for the REFGLS estimator? I want to know
> the
> mathematical relationship between the formula for R-squared for the
> REFGLS and that for the FE Within.
>
> I would very much appreciate your suggestions,
> Thank you so much & best regards,
>
> Dahlia El-Hawary
> PhD Candidate
> Economics Department
> George Washington University
> *
> * 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/
>
Andrea Molinari
PhD in Economics student
University of Sussex
*
* 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/
