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Re: st: rsquare Command
From
Steven Samuels <[email protected]>
To
[email protected]
Subject
Re: st: rsquare Command
Date
Fri, 7 Oct 2011 15:44:09 -0400
According to the FAQ, you must tell us where you got a command that is not official Stata. I would guess that missing values in x17 have reduced the sample size for the third analysis.
Steve
On Oct 7, 2011, at 11:13 AM, Carl Mastropaolo wrote:
I have a perplexing issue with the rsquare command. This command is used to
return the R^2 value, Mallow's C statistic and other values for all possible
regressions between a single dependent variable and a set of independent
variables.
Following is command line and output for showing rsquare information for the
simple regression of how y1 as dependent upon x19. Note that for the
simple model of y1 regressed against x19, the R^2 value is .0596:
. rsquare y1 x19
Regression models for dependent variable : y1
R-squared Mallows' C SEE MSE models with 1
variable
0.0596 2.00 3.128e+12 1.422e+11 x19
Following is command line and output for rsquare showing regressions of how
y1 is dependent upon x18 and x19. Note, again, that for the simple model
of y1 regressed against x19, the R^2 value is .0596:
. rsquare y1 x18 x19
Regression models for dependent variable : y1
R-squared Mallows' C SEE MSE models with 1
variable
0.0071 2.28 3.302e+12 1.501e+11 x18
0.0596 1.10 3.128e+12 1.422e+11 x19
R-squared Mallow's C SEE MSE models with 2
variables
0.0641 3.00 3.113e+12 1.482e+11 x18 x19
Now I add a third indy variable, x17. Why should the R^2 value for the
simple model y1 vs X19 now change to .0624 from the original value of
.0596?
. rsquare y1 x17 x18 x19
Regression models for dependent variable : y1
R-squared Mallows' C SEE MSE models with 1
variable
0.0001 1.42 3.281e+12 1.562e+11 x17
0.0086 1.25 3.253e+12 1.549e+11 x18
0.0624 0.15 3.076e+12 1.465e+11 x19
R-squared Mallow's C SEE MSE models with 2
variables
0.0088 3.25 3.252e+12 1.626e+11 x17 x18
0.0636 2.13 3.072e+12 1.536e+11 x17 x19
0.0682 2.03 3.057e+12 1.529e+11 x18 x19
R-squared Mallow's C SEE MSE models with 3
variables
0.0698 4.00 3.052e+12 1.606e+11 x17 x18 x19
Thanx
Carl
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