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st: R-Squre for Fixed Effects
From
Ozgur Ozdemir <[email protected]>
To
Stata <[email protected]>
Subject
st: R-Squre for Fixed Effects
Date
Wed, 8 Feb 2012 15:02:47 +0000
Hi,
I run the following on Stata with year and industry dummies. Stata drops the industry anyway due to industry being a time invariant variable:
eststo: xi : xtreg tobin_q other variables i.year i.icb_suprsectr_code, fe when I looked the stata output, I have
R-sq: within = 0.1648 between = 0.0926 overall = 0.0661
if I run the same model with areg I get around 0.14 R-Squre and 0.13 Adj R Square. I am not sure which R I need to use from the fixed effect output. In addition, when I export the output to excel, it gives adj-R Square which is -0.04. I did not see anything on the stata output called adj-R square so it is confusing? Please can you advice.
thanks
kind regards
Ozgur
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