st: adjusted r square

[Kit Baum <baum@bc.edu>]

Ranjita said

I saw your note in Stata re: adjusted R square and that while -areg-  
calculates the adjusted R^2 statistic, but, it is not statistically  
equivalent to the FE model in -xtreg, fe-: Therefore, my question is  
if I wanted to stay with xtreg, fe how whould I calculate adjusted R  
square? Thank you for your help

The model estimated by xtreg,fe is certainly 'statistically  
equivalent' to that estimated by areg:

webuse grunfeld
xtreg invest mvalue kstock,fe
areg invest mvalue kstock,absorb(company)

These models have identical coefficients, standard errors, F- 
statistics and RMSEs. What is not equivalent? These are just two  
different ways of implementing the LSDV (least squares dummy  
variable) approach, taking into account the loss of d.f.


Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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