st: Re: R2 in areg and R2 in xtreg

["Rodrigo A. Alfaro" <raalfaroa@gmail.com>]

Herve,

You should send your emails in plain format... it is difficult to see your 
text with some weird symbols in between. About your question, it seems more 
interesting to see the within R2 if you are running FE models. That R2 can 
be obtained using -xtreg, fe-

R



----- Original Message ----- 
From: "Herve STOLOWY" <stolowy@hec.fr>
To: <statalist@hsphsun2.harvard.edu>
Sent: Monday, May 28, 2007 4:40 PM
Subject: st: R2 in areg and R2 in xtreg



> Dear Statalisters:
>
> There was a recent exchange of mails 
> (http://www.stata.com/statalist/archiv=
> e/2007-02/msg00617.html
> ) concerning the difference between the adjusted R-square obtained 
> with -ar=
> eg- and the overal r-square obtained with -xtreg-.
>
> I run the following regressions:
>
> xi: xtreg abs_SDA1 i.n_dvlpt4*suivi2 roa abs_roa chg_roa size lev growth , 
> =
> fe, if outlier1!=3D1
>
> xi: areg abs_SDA1 i.n_dvlpt4*suivi2 roa abs_roa chg_roa size lev growth , 
> a=
> (gvkey) , if outlier1!=3D1
>
> I get exactly the same figures (coefficients, F...). The only difference 
> is=
>  related to R2: R2 overall =3D 2.53% with xtreg and Adjusted R-square =3D 
> 2=
> 5.03% with areg.
>
> What is the difference between the two R2? To be honest, I do not clearly 
> u=
> nderstand the explanation given by Mark in the answer to the previous 
> threa=
> d: "I suppose what is happening is that the areg R2 and adj R2 refer to 
> the=
>  total variation in the dependent variable, whereas the FE R2 and adj R2 
> re=
> fer to the variation in the demeaned dependent variable".
>
> What does this mean? (I do not have the Stata manual on Panel data 
> regressi=
> ons).
>
> Best regards
>
> Herv=E9 Stolowy
>
>
> ***********************************************************
> Professeur/Professor
> HEC Paris
> D=E9partement Comptabilit=E9 Contr=F4le de gestion / Dept of Accounting 
> and=
>  Management Control
> 1, rue de la Liberation
> 78351 - Jouy-en-Josas
> France
> Tel: +33 1 39 67 94 42 - Fax: +33 1 39 67 70 86
> mail: stolowy at hec dot fr
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>
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