Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: rsquared in xtreg


From   Christopher Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: rsquared in xtreg
Date   Tue, 07 Mar 2006 05:26:56 -0500

Nina wrote

I had the same problem as Ahmed (in 2003...) and your answer was extremly
helpfull. Just one question remains: I want to refer to the fact that "In
the -xtreg, fe- calculation, we are washing out the explanatory effects of
the intercepts" in my paper, but actually I would prefer to have a reference
for that. Do you or does somebody know whom I can cite? 

Any econometrics book that covers fixed effects. The 'within estimator' gives each individual in the panel his/her own intercept term (such that the sum of the residuals is zero for each individual, rather than only for the entire sample). A regressor subject to the within transformation has variance only to the extent that it varies over time for that individual; likewise for the response variable. Thus intuitively you are ignoring the fact that individuals' average values of Y and X matter, and only focusing on variation within their time series.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
*
*   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/



© Copyright 1996–2020 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index