Stata's definition appears to be 1 - e(sum_adev) / e(sum_rdev) in this
case.
That's unlike any other definition of pseudo-R^2 that's popular, but it
is natural for a method based on L1-norm (or whatever notation you use).
This underlines one of several problems with these measures: there are
so many to choose from.
See also
FAQ . . . . . . . . . . . . . . . . . . . . . . . Do-it-yourself
R-squared
9/03 How can I get an R-squared value when a Stata command
does not supply one?
http://www.stata.com/support/faqs/stat/rsquared.html
FAQ . . . . . . . . . . . . . . . . . . . . . . . . . R-square after
xtgls
4/03 Why does xtgls not report an R-square statistic?
http://www.stata.com/support/faqs/stat/xtgls2.html
FAQ . . . . . . . . . . . . . . . . . . . . Missing R-squared for
2SLS/IV
1/03 For two-stage least-squares (2SLS/IV/ivreg) estimates,
why
is the R-squared statistic not printed in some cases?
For two-stage least-squares (2SLS/IV/ivreg) estimates,
why
is the Model Sum of Squares sometimes negative?
For two-stage least-squares (3SLS/IV/ivreg) estimates,
why
are the R-squared and Model Sum of Squares sometimes
negative?
http://www.stata.com/support/faqs/stat/2sls.html
FAQ . . . . . . . . . . . . . . . . . . . . Pseudo R-squared for
xtprobit
10/01 How can I calculate the pseudo R-squared for xtprobit?
http://www.stata.com/support/faqs/stat/xtprobit.html
FAQ . . . . . . . . . . . . . . . . . . . . . . . . . Pseudo-R^2 for
tobit
6/97 Why is the pseudo-R^2 for tobit negative or greater
than 1?
http://www.stata.com/support/faqs/stat/pseudor2.html
FAQ . . . . . . . . . . . . . . . . . . R-squared: areg versus
xtreg, fe
9/96 Why isn't the calculation of R2 the same for areg
and xtreg, fe?
http://www.stata.com/support/faqs/stat/xtr2.html
Nick
[email protected]
[email protected]
I run a median-regression (qreg) and I wanted to save the "pseudo r2" by
using commands like e() or local
but without success.
gen r2=e(r2) is fine is case of OLS (reg[, robust])
How can I do the same or something similar after running a
median-regression?
People express doubt and concern about the pseudo r2 (according to the
internet).
Is it a second best solution or even a bad solution?
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