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Re: st: Cohen's f2 on a regression
From
Richard Williams <[email protected]>
To
[email protected], [email protected]
Subject
Re: st: Cohen's f2 on a regression
Date
Mon, 01 Aug 2011 18:54:23 -0500
At 05:15 PM 8/1/2011, Linh Vuong wrote:
Statalist,
Does anyone know the command to get Cohen's f (effect size estimator
R2/(1-R2) ) for an entire regression? I see the help topic for
regeffectsize and effectsize but I'd like to get Cohen's f for the
entire regression, not just for specific variables.
Thanks,
Linh
Is that literally the formula? If so, how about something like
. sysuse auto
(1978 Automobile Data)
. reg price weight length foreign
Source | SS df MS Number of obs = 74
-------------+------------------------------ F( 3, 70) = 28.39
Model | 348565467 3 116188489 Prob > F = 0.0000
Residual | 286499930 70 4092856.14 R-squared = 0.5489
-------------+------------------------------ Adj R-squared = 0.5295
Total | 635065396 73 8699525.97 Root MSE = 2023.1
------------------------------------------------------------------------------
price | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
weight | 5.774712 .9594168 6.02 0.000 3.861215 7.688208
length | -91.37083 32.82833 -2.78 0.007 -156.8449 -25.89679
foreign | 3573.092 639.328 5.59 0.000 2297.992 4848.191
_cons | 4838.021 3742.01 1.29 0.200 -2625.183 12301.22
------------------------------------------------------------------------------
. di "Cohen's F = " =e(r2) / (1-e(r2))
Cohen's F = 1.2166337
-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME: (574)289-5227
EMAIL: [email protected]
WWW: http://www.nd.edu/~rwilliam
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