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RE: st: pseudo R-squared for median regression


From   Cameron McIntosh <cnm100@hotmail.com>
To   STATA LIST <statalist@hsphsun2.harvard.edu>
Subject   RE: st: pseudo R-squared for median regression
Date   Fri, 18 May 2012 20:25:01 -0400

Mari,
You should also look at:

Koenker, R., & Machado, J. (1999). Goodness of fit and related inference processes for quantile regression. Journal of the American Statistical Association, 94(448),1296–1310.http://isc.temple.edu/economics/Econ616/Quantile/JASA1999.pdf

Just never forget that the index is quantile-specific rather than global over the whole conditional distribution, thus not analogous to the conventional R-square.

Cam

> Subject: Re: st: pseudo R-squared for median regression
> From: sjsamuels@gmail.com
> Date: Fri, 18 May 2012 15:30:04 -0400
> To: statalist@hsphsun2.harvard.edu
> 
> 
> The answer is contained in the manual entry for -qreg- both in the discussion of Example 1 and in the Methods and Formulas. 
> 
> Steve
> sjsamuels@gmail.com
> 
> On May 18, 2012, at 1:51 PM, Mari Mari wrote:
> 
> Hi,
> How could I interpret the pseudo R-squared from a median regression?
> I understand it does not have the same interpretation as the non-pseudo R-squared (i.e. the proportion of the total  variability explained by the model).
> Thanks
> 
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