Thursday, March 09, 2006

Re: st: RE: R squared for constrained regression

Another approach is to use the PRE (Proportional Reduction of Error) measure. This is R-squared for -regress- but is different for each type of model. It is available from ssc: . ssc install pre, replace

Run your model (logit, mlogit, nbreg, etc.) then type: . pre

PRE is a measure of the predictive power of the model, that is, how much better the model is at predicting values of the dependent variable than a measure of central tendency is at predicting values of the dependent variable.

- Paul Millar

At 02:29 PM 08/03/2006, you wrote: >This is an FAQ. Here is some possible reading on this and related >questions. > >FAQ . . . . . . . . . . . . . . . . . . . . . . . Do-it-yourself R-squared > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . > . M. Mouse > 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 > >FAQ . . . . . . . . . . . . . . . . . . . . . . . . . R-square after xtgls > . . . . . . . . . . . . . . . . . . . . . . . . . . . . > . A. McDowell > 4/03 Why does xtgls not report an R-square statistic? > http://www.stata.com/support/faqs/stat/xtgls2.html > >FAQ . . . . . . . . . . . . . . . . . . . . Missing R-squared for 2SLS/IV > . . . . . . . . . . . . . . . . W. Sribney, V. Wiggins and > D. Drukker > 1/03 For two-stage least-squares (2SLS/IV/ivreg) estimates, why > is the R-squared statistic not printed in some cases? > For two-stage least-squares (2SLS/IV/ivreg) estimates, why > is the Model Sum of Squares sometimes negative? > For two-stage least-squares (3SLS/IV/ivreg) estimates, why > are the R-squared and Model Sum of Squares sometimes > negative? > http://www.stata.com/support/faqs/stat/2sls.html > >FAQ . . . . . . . . . . . . . . . . . . . . Pseudo R-squared for xtprobit > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . > . W. Gould > 10/01 How can I calculate the pseudo R-squared for xtprobit? > http://www.stata.com/support/faqs/stat/xtprobit.html > >FAQ . . . . . . . . . . . . . . . . . . . . . . . . . Pseudo-R^2 for tobit > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . > W. Sribney > 6/97 Why is the pseudo-R^2 for tobit negative or greater > than 1? > http://www.stata.com/support/faqs/stat/pseudor2.html > >FAQ . . . . . . . . . . . . . . . . . . R-squared: areg versus xtreg, fe > . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . > . W. Gould > 9/96 Why isn't the calculation of R2 the same for areg > and xtreg, fe? > http://www.stata.com/support/faqs/stat/xtr2.html > >Nick >n.j.cox@durham.ac.uk > >Vadim Grinevich > > > As you know when you run a constrained regression, the output > > statistics > > does not include R squared. However, I do need at least some > > indication of > > it in order to compare my results with those from other studies using > > similar sort of constraints. > > > > To sum up, is there any way to get indication of R squared > > for constrained > > regression (cnsreg command) > >* >* For searches and help try: >* http://www.stata.com/support/faqs/res/findit.html >* http://www.stata.com/support/statalist/faq >* http://www.ats.ucla.edu/stat/stata/

* * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/


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