Dear Statalisters,
I have posted this mail a week before, but didn't get any response.
I am sending it again in the hope someone may help me.
-Jayesh
---------- Forwarded message ----------
Date: Fri, 17 Oct 2003 23:20:49 +0530 (IST)
From: JAYESH KUMAR <[email protected]>
To: [email protected]
Subject: help with R-square of xtreg,fe and areg
Dear Users,
I have a basic question regarding the difference in xtreg,fe and areg.
Which R-square should I report in my results? R-sq: within, between or
overall obtained from xtreg,fe or shall I report R-squared or Adjusted
R-squared obtained from the areg.
I am inclosing the output from the two commands. As you can clearly see
that both results are same in terms of coeff, p-value, F-stats, etc. The
only difference is with different R-squares. I am bit puzzled here, which
R-sq should I report in my final tables. I am using Stata 7.
Any suggestion would be of help. Is there any reference, in which I can
find the differences in R-squares, in terms of interpretation, rather than
derivation?
TIA,
-Jayesh Kumar
************************************************************************
JAYESH KUMAR,
Research Scholar,
Indira Gandhi Institute Of Development Research (IGIDR),
Gen. Arun Kumar Vaidya Marg,
Santosh Nagar, Goregaon (East), Mumbai-400065, INDIA.
Tel # + 91 (22) 2840 0919/0920/0921 Extn. 591(Office) 263(Residence)
Fax # + 91 (22) 2840 2752/2026
visit: www.igidr.ac.in/~jayesh
SSRN Papers on the web at:
http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=333715
************************************************************************
When I don't know what I'm doing I'm doing Research!
OUT PUT:
================================================================================
. xtreg inc age pq_a,fe
Fixed-effects (within) regression Number of obs = 5132
Group variable (i) : ind Number of groups = 2524
R-sq: within = 0.0485 Obs per group: min = 1
between = 0.0045 avg = 2.0
overall = 0.0054 max = 7
F(2,2606) = 66.35
corr(u_i, Xb) = -0.8909 Prob > F = 0.0000
------------------------------------------------------------------------------
inc | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
age | -.0107904 .0009367 -11.52 0.000 -.0126272 -.0089536
pq_a | 9.67e-06 .0000694 0.14 0.889 -.0001265 .0001458
_cons | .3441254 .0208627 16.49 0.000 .3032161 .3850346
-------------+----------------------------------------------------------------
sigma_u | .26712239
sigma_e | .07998241
rho | .91772273 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(2523, 2606) = 4.40 Prob > F = 0.0000
. areg inc age pq_a,absorb(ind)
Number of obs = 5132
F( 2, 2606) = 66.35
Prob > F = 0.0000
R-squared = 0.8109
Adj R-squared = 0.6277
Root MSE = .07998
------------------------------------------------------------------------------
inc | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
age | -.0107904 .0009367 -11.52 0.000 -.0126272 -.0089536
pq_a | 9.67e-06 .0000694 0.14 0.889 -.0001265 .0001458
_cons | .3441254 .0208627 16.49 0.000 .3032161 .3850346
-------------+----------------------------------------------------------------
ind | F(2523, 2606) = 4.399 0.000 (2524 categories)
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