|Title||Pseudo-R2 for tobit|
|Author||William Sribney, StataCorp|
Concerning the pseudo-R2, we use the formula
pseudo-R2 = 1 − L1/L0
where L0 and L1 are the constant-only and full model log-likelihoods, respectively.
For discrete distributions, the log likelihood is the log of a probability, so it is always negative (or zero). Thus 0 ≥ L1 ≥ L0, and so 0 ≤ L1/L0 ≤ 1, and so 0 ≤ pseudo-R2 ≤1 for DISCRETE distributions.
For continuous distributions, the log likelihood is the log of a density. Since density functions can be greater than 1 (cf. the normal density at 0), the log likelihood can be positive or negative. Similarly, mixed continuous/discrete likelihoods like tobit can also have a positive log likelihood.
If L1 > 0 and L0 < 0, then L1/L0 < 0, and 1 − L1/L0 > 1.
If L1 > L0 > 0 and then L1/L0 > 1, and 1 − L1/L0 < 0.
Hence, this formula for pseudo-R2 can give answers > 1 or < 0 for continuous or mixed continuous/discrete likelihoods like tobit.