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RE: st: pseudo R-squared for median regression


From   "Santos Silva, J.M.C." <jmcss@essex.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: pseudo R-squared for median regression
Date   Sat, 19 May 2012 12:42:53 +0100

Dear Mari,

qreg2 (available from ssc) defines the R2 for quantile regression as the square of the correlation 
between the fitted values and the dependent variable, which is another interpretation of the standard 
R2 in OLS regression. I find this measure of goodness-of-fit easier to interpret than the one used to
compute the R2 in qreg. Of course, as Cameron noted before, one needs to be careful when interpreting
the R2 in quantile regression.

Joao

Joao

> 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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