Re: st: adjusted r-squared, regress with pweight

[David Kantor <kantor.d@att.net>]

Many thanks to Steve Samuels, Martin Weiss, and Stas Kolenikov for 
their replies.
--David

At 08:59 AM 5/13/2010, you wrote:
> I think that the adjusted r-square reported after -reg- with [pweight]
> is in error and that the displayed R-square is, in fact, adjusted
> R-square.   I ran  three weighted regressions (code below)
>
> I also directly calculated the adjusted r-square from svy: reg from
> the weighted estimates of mean square error Ve and population variance
>  V: adjusted R-square = 1- Ve/V.  ( agree with Stas that this has
> little practical value when data are heteroskedastic and clustered--it
> refers to
>
> The results were:
>                   Displayed R-square   Adjusted r-square:
> reg [pw]     0.6300                   0.6188 (e(r2_a)
> reg [fw]      0.6300                   0.6268 (displayed)
> svy: reg     0.6300                   0.6300 (direct)
>
> ************CODE*****************
> sysuse auto,clear
> reg mpg  length trunk [pw=rep78]
> di e(r2_a)   //adjusted r-square
> reg mpg  length trunk [fw=rep78]
>
> svyset _n [pweight=rep78]
> svy: reg mpg length trunk
> **********************************
>
> Steve
> [...]

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