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Re: st: list x matrix
From
richard boylan <[email protected]>
To
[email protected]
Subject
Re: st: list x matrix
Date
Mon, 29 Mar 2010 13:14:27 -0500
Thanks but the question was not on how to compute the R^2 but on how
to compute Xb,
so the Statlist FAQ would not have helped.
On Mon, Mar 29, 2010 at 6:29 AM, Nick Cox <[email protected]> wrote:
> The approach that Kit recommends is spelled out at greater length in
>
> FAQ . . . . . . . . . . . . . . . . . . . . . . . Do-it-yourself
> R-squared
> . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . N.
> J. Cox
> 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
>
> The Statalist FAQ does draw attention to the FAQs as a way of answering
> many questions. -search- does search the FAQs as well.
>
> Nick
> [email protected]
>
> Kit Baum replied to Richard Boylan
>
> Richard Boylan
> ==============
>
> The problem was as follows.
>
> The regression is y = x b + e. (1)
>
> However, to estimate it (b/c of a variety of issues such
> autocorrelation, system of equation with correlated errors), the model
> that I end up estimating is
>
> yt = xt b + z c + v, (2)
>
> where yt is a transformation of y, xt is a transformation of x, and z
> are variables from the other regressions.
>
> So, what I need to do is to get the estimates of b from (2) and plug
> back into (1) to compute my R^2.
>
> Kit Baum
> ========
>
> An R^2 measure for any model can almost always be computed from the
> simple correlation between Y and Yhat, so if you can construct a
> predicted value from the equation you estimate "if e(sample)" for yt,
> and apply the inverse transformation that gets you back to yhat, just
> compute the square of that correlation.
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/