Thank you
Ph.D candidate Strategy and Organization Theory
Rotman School of Management
University of Toronto
105 St. George St
Toronto, ON
M5S3E6
________________________________
From: [email protected] on behalf of Kit Baum
Sent: Mon 2/19/2007 8:27 PM
To: [email protected]
Subject: st: adjusted r square
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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