It is generally true in multiple regression, whether the independent varaibles are categorical or interval-level, that the explained variance cannot be partitioned uniquely among the independent variables unless they are uncorrelated. It is possible to say how much additional variance a given variable adds after some other independent variables have been entered, but the result will depend on the order of entry, unless the independents are uncorrelated. David Greenberg, Sociology Department, New York University
----- Original Message -----
From: vannevar bush <[email protected]>
Date: Thursday, July 8, 2004 1:52 pm
Subject: st: anova/areg w/ multiple sets of fixed effects
> I have a problem that I'm hoping Stata-listers can help with. I've
> scoured the archives and FAQ, to no avail.
>
> I have a dataset with 500,000 observations, and am interested in the
> share of variance in variable Y that is explained by each of three
> categorical independent variables, X1, X2, and X3.
>
> The problem is, each of the X's has many categories: 90000, 2000, and
> 800 respectively. So I can't use anovas because of matsize problems.
> More importantly, I'm not really familiar with anovas, so maybe that's
> the wrong way to go altogether.
>
> I've also thought of just running fixed effect regressions,
> looking at
> increments to adjusted R2 upon adding each set of dummies.
> However, I
> run into the same matsize problems.
>
> The areg command works fine with each of the variables individually,
> but cannot handle more than one set of fixed effects. Based on a
> previous Statalist post, I also tried grouping the fixed effects, i.e.
> egen fe1=group(X1 X2) and egen fe2=group(X1 X2 X3), which also works.
> The question is, can I just look at increments to the adjusted R2 from
> these regressions to estimate the share of variance due to each set?
>
> My instinct is no. But I'd be interested in hearing others' thoughts
> on this. More importantly, any other thoughts on how to proceed?
>
> Any help would be much appreciated.
>
> VB
> *
> * 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:
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* http://www.ats.ucla.edu/stat/stata/
