Thanks a lot!
It's of great help, as I can defend the R-sq I am reporting in my results,
by giving their construction.
Thanks,
-Jayesh
On Sat, 25 Oct 2003, alopca2002 wrote:
:Date: Sat, 25 Oct 2003 10:18:41 -0000
:From: alopca2002 <[email protected]>
:Reply-To: [email protected]
:To: statalist
:Subject: Re: st: help with R-square of xtreg,fe and areg (fwd)
:
:Dear Jayesh
:
:I have asked myself the same question just a week ago and i think i
:can give you an interpretation.
:
:I runned the same model in Stata and in LIMDEP because the
:differences found in the R squared. In LIMDEP the R squared was
:bigger but coeficientes and t ratios were the same!!!
:
:The R-squared provided by STATA with xtreg responds only to the
:effects of the independient variables, nor the fixed effects. The
:overall R-squared reported by STATA correponds to the R-squared (no
:adjusted)in LIMDEP in other models.
:
:I renember to read a text on the official STATA website explaining
:the differences in the xtreg and areg R squared, but i cant find it.
:In the construction of the R squared of xtreg fixed effects impact is
:droped.
:
:So, what is the most suitable R squared???? I think that it depends
:on your results. In my model i am gonna use the areg R squared and
:explain the composition of it.
:
:Hope it helps.
:
:Alfredo L�pez
:Universidad de Zaragoza
:Zaragoza (Spain)
:
:--- In [email protected], JAYESH KUMAR <jayesh@i...> wrote:
:> 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 <jayesh@i...>
:> To: statalist@h...
:> 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)
:>
:>
:>
:>
:>
:> *
:> * For searches and help try:
:> * http://www.stata.com/support/faqs/res/findit.html
:> * http://www.stata.com/support/statalist/faq
:> * http://www.ats.ucla.edu/stat/stata/
:
:
:
:*
:* For searches and help try:
:* http://www.stata.com/support/faqs/res/findit.html
:* http://www.stata.com/support/statalist/faq
:* http://www.ats.ucla.edu/stat/stata/
:
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
