Mark,
It's much clearer now. Thanks again.
Marta.
________________________________
From: [email protected] on behalf of Schaffer, Mark E
Sent: Wed 22/08/2007 23:15
To: [email protected]
Subject: st: RE: RE: ivreg2
Marta,
> From: [email protected]
> [mailto:[email protected]] On Behalf Of M.Sanchez-
> [email protected]
> Sent: 22 August 2007 18:51
> To: [email protected]
> Subject: RE: RE: ivreg2
>
> Mark,
>
> Thanks for your answer. However, something stills puzzles me. Why
would we
> interested in uncentered statistics if we do have a constant in our
model?
> When STATA computes uncentered statistics, is it not taking into
account the
> constant we explicitly introduce in our model? I thought that
uncentered
> statistics were only used when a constant was lacking in the model.
>
> Thanks again.
>
> Marta
I can think of two reasons. First, sometimes users might estimate a
model with the -nocons- option but the model actually does have a
constant. (For example, if the regression is on individuals and there
is a gender dummy, the user might exclude a constant and include both a
male and a female dummy.) From a programming point of view, it was
easiest just to report both centered and uncentered R-sqs and let the
user decide which s/he wants to use. Second, we don't always use
regressions to estimate models; sometimes we do tests based on
artificial regressions. There are N*R-sq tests which require the
uncentered R-squared.
Cheers,
Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Schaffer, Mark E
> Sent: 22 August 2007 18:35
> To: [email protected]
> Subject: st: RE: ivreg2
>
> Marta,
>
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]] On Behalf Of
> > [email protected]
> > Sent: 22 August 2007 18:09
> > To: [email protected]
> > Subject: st: ivreg2
> >
> > I'm using ivreg2 command. It doesn't report an ANOVA table and,
> > instead, it reports uncentered and centered TSS and r-squared. Why
> > does it report uncentered TSS and r-squared if I'm including a
> > constant in my regression and, therefore, centered TSS and r-squared
> > are valid? Why does it report both?
> >
> > Thanks a lot in advance.
> >
> > Marta.
>
> It reports both because sometimes people want the centered
> R-sq and sometimes they want the uncentered R-sq. Seemed the
> easiest way to program it and still give users statistics
> they might find useful.
>
> Cheers,
> Mark (co-author of ivreg2 along with Kit Baum and Steve Stillman)
>
> Prof. Mark Schaffer
> Director, CERT
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS tel
> +44-131-451-3494 / fax +44-131-451-3296
> email: [email protected]
> web: http://www.sml.hw.ac.uk/ecomes
>
>
> >
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