Re: st: R squared of OLS with dummy variables

[Stefano Lugo <stefano.lugo@mail.polimi.it>]

Thank you, I didn't know about the hascons option at all and I 
erroneously thought nocons works as hascons actually does.

Of course writing x instead of fit in the reported code was a typo, I 
apologize for that.
For the record the other software was gretl, which apparently use an 
hascons option by default when the constant is not included.

Best

Il 06/07/2012 11:37, Maarten Buis ha scritto:
> On Fri, Jul 6, 2012 at 10:57 AM, Stefano Lugo wrote:
> > I am estimating an OLS model which include dummy variables along with other
> > regressors.
> > If - instead of dropping one dummy due to collinearity - I drop the
> > constant, I get the same estimation for variables (including the
> > dummy/constant) coefficients and standard errors as expected but a very
> > different R squared of the model.
> That is what the -hascons- option is for:
>
> *-------- begin example -----------
> sysuse auto, clear
> reg price ibn.foreign mpg, hascons
> reg price i.foreign mpg
> *--------- end example ------------
> (For more on examples I sent to the Statalist see:
>   http://www.maartenbuis.nl/example_faq )
>
>
> Hope this helps,
> Maarten
>
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
>
> http://www.maartenbuis.nl
> --------------------------
> *
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--
Stefano Lugo, PhD
Politecnico di Milano
P.za Leonardo da Vinci 32
20133 Milan, Italy

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