Many many thanks for your help,
I know that the R^2 is not a parameter on which value my regression but
this is first time I run a xtreg , fe and so I don't how value that.
These are two example of my xtreg output.
According to you , in the fixed models is possible interpret the fixed effect
as a component of the intercept and so calculate the R^2 as a corr(Xb +
u_i , y)^2???
Every help will be welcome and make me happy.
. xtreg irregolari demogr4 produtt10 imprend105 , fe
Fixed-effects (within) regression Number of obs =
140
Group variable (i): codice Number of groups =
20
R-sq: within = 0.5371 Obs per group: min =
7
between = 0.4217 avg =
7.0
overall = 0.3850 max =
7
F(3,117) =
45.25
corr(u_i, Xb) = 0.4148 Prob > F =
0.0000
------------------------------------------------------------------------------
irregolari | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
demogr4 | -.0186462 .0052661 -3.54 0.001 -.0290754 -.008217
produtt10 | -.1470318 .0270009 -5.45 0.000 -.2005056 -.093558
imprend105 | -169.2132 72.47763 -2.33 0.021 -312.7513 -25.67506
_cons | 30.29637 2.125256 14.26 0.000 26.08741 34.50532
-------------+----------------------------------------------------------------
sigma_u | 4.3176424
sigma_e | .66457615
rho | .97685661 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(19, 117) = 163.87 Prob > F =
0.0000
. xtreg irregolari demogr4 produtt10 settori214 , fe
Fixed-effects (within) regression Number of obs =
140
Group variable (i): codice Number of groups =
20
R-sq: within = 0.5949 Obs per group: min =
7
between = 0.0480 avg =
7.0
overall = 0.0298 max =
7
F(3,117) =
57.27
corr(u_i, Xb) = -0.5919 Prob > F =
0.0000
------------------------------------------------------------------------------
irregolari | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
demogr4 | -.0174142 .0049189 -3.54 0.001 -.0271559 -.0076726
produtt10 | -.121299 .0259491 -4.67 0.000 -.1726899 -.0699082
settori214 | 100.181 20.92403 4.79 0.000 58.74207
141.62
_cons | 21.83841 2.526057 8.65 0.000 16.83569 26.84113
-------------+----------------------------------------------------------------
sigma_u | 6.1560115
sigma_e | .6216992
rho | .98990387 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(19, 117) = 389.42 Prob > F =
0.0000
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