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st: RE: R squared for constrained regression


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: R squared for constrained regression
Date   Wed, 8 Mar 2006 21:29:01 -0000

This is an FAQ. Here is some possible reading on this and related
questions. 

FAQ     . . . . . . . . . . . . . . . . . . . . . . . Do-it-yourself R-squared
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .   M. Mouse
        9/03    How can I get an R-squared value when a Stata command
                does not supply one?
                http://www.stata.com/support/faqs/stat/rsquared.html

FAQ     . . . . . . . . . . . . . . . . . . . . . . . . . R-square after xtgls
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . .  A. McDowell
        4/03    Why does xtgls not report an R-square statistic?
                http://www.stata.com/support/faqs/stat/xtgls2.html

FAQ     . . . . . . . . . . . . . . . . . . . .  Missing R-squared for 2SLS/IV
        . . . . . . . . . . . . . . . .  W. Sribney, V. Wiggins and D. Drukker
        1/03    For two-stage least-squares (2SLS/IV/ivreg) estimates, why
                is the R-squared statistic not printed in some cases?
                For two-stage least-squares (2SLS/IV/ivreg) estimates, why
                is the Model Sum of Squares sometimes negative?
                For two-stage least-squares (3SLS/IV/ivreg) estimates, why
                are the R-squared and Model Sum of Squares sometimes
                negative?
                http://www.stata.com/support/faqs/stat/2sls.html

FAQ     . . . . . . . . . . . . . . . . . . . .  Pseudo R-squared for xtprobit
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . W. Gould
        10/01   How can I calculate the pseudo R-squared for xtprobit?
                http://www.stata.com/support/faqs/stat/xtprobit.html

FAQ     . . . . . . . . . . . . . . . . . . . . . . . . . Pseudo-R^2 for tobit
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . W. Sribney
        6/97    Why is the pseudo-R^2 for tobit negative or greater
                than 1?
                http://www.stata.com/support/faqs/stat/pseudor2.html

FAQ     . . . . . . . . . . . . . . . . . .  R-squared:  areg versus xtreg, fe
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . W. Gould
        9/96    Why isn't the calculation of R2 the same for areg
                and xtreg, fe?
                http://www.stata.com/support/faqs/stat/xtr2.html

Nick 
n.j.cox@durham.ac.uk 

Vadim Grinevich
 
> As you know when you run a constrained regression, the output 
> statistics 
> does not include R squared. However, I do need at least some 
> indication of 
> it in order to compare my results with those from other studies using 
> similar sort of constraints.
> 
> To sum up, is there any way to get indication of R squared 
> for constrained 
> regression (cnsreg command)

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