<>
Take your cue from the example in Baum (2006),
http://www.stata-press.com/books/imeus.html, chapter 9, where the decrease
in the overall R2 is also present (although the word "huge" is debatable):
*************
u http://www.stata-press.com/data/imeus/traffic, clear
xtreg fatal beertax spircons unrate perincK, fe
quietly tabulate year, generate(yr)
local j 0
quietly forvalues i=82/87 {
local ++j
rename yr`j' yr`i'
replace yr`i' = yr`i' - yr7
}
drop yr7
xtreg fatal beertax spircons unrate perincK yr*, fe
*************
HTH
Martin
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von andrea
carrozzone
Gesendet: Freitag, 30. Oktober 2009 12:59
An: statalist
Betreff: st: R2 in a regression with time and fixed effects
Dear Statalist,
I ran a regression (xtreg command) with fixed effects (for 60 groups). I
then included time effects by putting a dummy for each year (7 years). I
notice that the R2 (overall) decreases hugely.
I wonder if it is reasonable. Does it depend on the way the R2 overall is
computed with the xtreg command?
Thanks a lot,
Andrea
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