st: RE: Re: transform areg R-sqr to xtreg R-sqr or weight for xtreg?

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Weiwei,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> weiwei@sas.upenn.edu
> Sent: 27 April 2007 22:33
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Re: transform areg R-sqr to xtreg R-sqr or 
> weight for xtreg?
> 
> Mark, thanks for your response.
> 
> But the standard errors and # of observ. are different in 
> using areg and xtivreg2. Can I use the estimates from areg, 
> but the R2 from xtivreg?

If you are getting different estimates, then you need to sort this out
first.

Did -xtivreg2- give you any warning messages about dropping observations
that were singletons or something like that?

If you can't work out what the source of the difference is, post the
command line and basic output from -areg- and -xtivreg2- and see if
anyone here can work out why the results differ.

--Mark

> Also, neither areg or xtivreg2 reports sigma_u and sigma_e.  
> How can I get these two from areg and xtivreg2. Thanks!
> 
> 
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> > weiwei@sas.upenn.edu
> > Sent: 27 April 2007 02:16
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: transform areg R-sqr to xtreg R-sqr or weight 
> for xtreg?
> >
> > Hi,    I am running a fixed-effect model for my analysis. I
> > use areg because
> > xtreg does not allow me to use analytical weights (actually any 
> > weights).
> > However, for me, the within R-sqr reported by xtreg is more 
> relevant 
> > than areg adjusted R-sqr.
> 
> -xtivreg2- will estimate basic fixed effect models with 
> exogenous regressors, allows aweights, and reports a within 
> R-sq.  From within Stata,
> 
> findit xtivreg2
> 
> and follow the links.
> 
> Cheers,
> Mark
> 
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