st: r-squared in RREG procedure

[Kit Baum <baum@bc.edu>]

Thorstein wondered about the output from rreg.


. rreg price mpg rep78 headroom

   Huber iteration 1:  maximum difference in weights = .76806532
   Huber iteration 2:  maximum difference in weights = .22800273
   Huber iteration 3:  maximum difference in weights = .07985373
   Huber iteration 4:  maximum difference in weights = .1381678
   Huber iteration 5:  maximum difference in weights = .06184858
   Huber iteration 6:  maximum difference in weights = .02513437
Biweight iteration 7:  maximum difference in weights = .27511851
Biweight iteration 8:  maximum difference in weights = .16355823
Biweight iteration 9:  maximum difference in weights = .21764717
Biweight iteration 10:  maximum difference in weights = .09814313
Biweight iteration 11:  maximum difference in weights = .05367749
Biweight iteration 12:  maximum difference in weights = .00798559

Robust regression                                      Number of obs  
=      69
                                                       F(  3,    65)  
=    7.40
                                                       Prob > F       
=  0.0002

------------------------------------------------------------------------ 
------
       price |      Coef.   Std. Err.      t    P>|t|     [95% Conf.  
Interval]
------------- 
+----------------------------------------------------------------
         mpg |  -113.8438   26.05671    -4.37   0.000    -165.8826    
-61.80491
       rep78 |   464.9123   143.1268     3.25   0.002      
179.0684    750.7562
    headroom |  -176.2006   165.8466    -1.06   0.292     
-507.4191    155.0179
       _cons |   6395.867   897.0398     7.13   0.000      
4604.355    8187.379
------------------------------------------------------------------------ 
------

. ereturn list

scalars:
                 e(N) =  69
              e(df_m) =  3
              e(df_r) =  65
                 e(F) =  7.398391817218679
                e(r2) =  .2545459119347927
              e(rmse) =  1069.508326203693
               e(mss) =  25387908.37771961
               e(rss) =  74350123.88823663
              e(r2_a) =  .2201403386394755


Both r^2 and adjusted r^2 are available; they just aren't appearing  
on the output. Same for RMSE.

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


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