Re: st: Re: st: Pseudo R² for xtlogit

[Jeph Herrin <stata@spandrel.net>]

I am not sure what the -r2_mz- command does, but in general there are a number of theoretical problems with calculating 
a single R2 for logistic random effects models. Certainly I would not expect any single metric of "variance explained" 
to be comparable between the -logit- and -xtlogit- models; for the -xtlogit-, there is variance explained at 2 different 
levels, and surprising things happen when you add explanatory variables. See for example [Snijders T & Boskers R, 
Multilevel Analysis: An introduction to basic and advanced multilevel modelling. Sage. 2012.], Chapter 17.
If your goal is to compare the performance of the two models, I suggest using the C-statistic, which can be compared 
directly.
Jeph


On 4/25/2013 8:25 AM, Andreas Schiffelholz wrote:
> For both calculations I used Dirk's -r2_mz- comand, calculating the McKelvey & Zavoina's R². So if it is working with
> both -logit- and -xtlogit-, I think it is calculationg the same. I just wanted to make sure the comand is working
> correctly in both cases, that's why I asked.
>
> Andreas
>
> Am 25.04.2013 14:08, schrieb Nick Cox:
> > Among many other issues, you need to be clear that you are calculating
> > exactly the same thing. There are numerous different definitions of
> > Pseudo R-square. Only the same formula applied in different situations
> > is comparable.
> > Nick
> > njcoxstata@gmail.com
> >
> >
> > On 25 April 2013 12:42, Andreas Schiffelholz
> > <Andreas.Schiffelholz@gmx.de> wrote:
> > > Dirk,
> > >
> > > thank you very much, that helps a lot!
> > >
> > > When I use this comand to calculate the Pseudo R2 for the -logit- and the
> > > -xtlogit, re-, they differ a lot (e.g. 0.09 vs. 0.19). Is it normal that the
> > > r2 differs so much between two models using the same independent variables
> > > or can your command only be used for -xtlogit- and the -logit- is not
> > > correct?
> > >
> > > Cheers,
> > > Andreas
> > >
> > >
> > >
> > > * You can calculate McKelvey & Zavoina's R² using -r2_mz- from SSC, see
> > > -findit r2_mz-.
> > > *
> > > * Dirk
> > > *
> > > * Wed, 24 Apr 2013 09:49:31 +0200, Andreas
> > > Schiffelholz<Andreas.Schiffelholz@gmx.de> wrote:
> > > > Hello everybody,
> > > >
> > > > I have a very basic question. I'm currently working on a logistic panel
> > > > regression with random effects -xtlogit, re-. While I'm able to
> > > > calculate pseudo R² for my pooled models with cluster-robust standard
> > > > errors -logit, cluster (...)-, I'm not able to calculate these for the
> > > > - -xtlogit, re- model.
> > > >
> > > > Is there a way to calculate these pseudo R²? If not, what other
> > > > comparable criteria would you use instead?
> > > >
> > > > Thanks a lot in advance!
> > > > Andreas Schiffelholz
> > > ========================================
> > > Dr. Dirk Enzmann
> > > Institute of Criminal Sciences
> > > Dept. of Criminology
> > > Rothenbaumchaussee 33
> > > D-20148 Hamburg
> > > Germany
> > >
> > > phone: +49-(0)40-42838.7498 (office)
> > >         +49-(0)40-42838.4591 (Mrs Billon)
> > > fax:   +49-(0)40-42838.2344
> > > email: dirk.enzmann@uni-hamburg.de
> > > http://www2.jura.uni-hamburg.de/instkrim/kriminologie/Mitarbeiter/Enzmann/Enzmann.html
> > > ========================================
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