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st: RE: Adj-R2 becomes too low with XTIVREG2?

From   "Nick Cox" <>
To   <>
Subject   st: RE: Adj-R2 becomes too low with XTIVREG2?
Date   Wed, 25 Mar 2009 16:06:55 -0000

-xtivreg2- is a user-written command from SSC (Mark Schaffer). 

For Mark, or anybody else, to have anything much to work with here, tell
us about the data and the precise commands you used.  

Ideally, reproduce your results on a dataset accessible to all, or let
Mark privately have a copy of your data _and_ your commands. 

Otherwise there is little to go on here. It's not even clear that you
are fitting precisely the same model, or equivalent models. 

More attention to age-old advice in the FAQ, often repeated on the list,
would have yielded a question easier to answer. 


P.S. no SHOUTING of command names please. 

Erasmo Giambona

I am estimating the panel regression model with XTREG and XTIVREG2.
When I use XTREG, I obtain an adj-R2 of around 0.21. The within and
between R2's have a similar size. Similarly, when I use XTIVREG2, the
centered and uncentered R2 are around 0.20. However, if I do: . di
"R2-adj: " e(r2_a), I get: R2-adj: .02060245. This sems a huge drop
compared to the centered/uncentered R2 or the adj-R2 from XTREG.

I have explored the statalist archive finding a lot of very useful
information about the nuances with the R2 with IV regressions, but I
didn't find a good answer to my question.

I would appreciate any hints on this issue.

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