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Re: st: RE: R squared for constrained regression


From   Paul Millar <paul.millar@shaw.ca>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: R squared for constrained regression
Date   Wed, 08 Mar 2006 22:08:46 -0700

Another approach is to use the PRE (Proportional Reduction of Error) measure. This is R-squared for -regress- but is different for each type of model. It is available from ssc:
. ssc install pre, replace

Run your model (logit, mlogit, nbreg, etc.) then type:
. pre

PRE is a measure of the predictive power of the model, that is, how much better the model is at predicting values of the dependent variable than a measure of central tendency is at predicting values of the dependent variable.

- Paul Millar


At 02:29 PM 08/03/2006, you wrote:

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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