Wednesday, March 08, 2006

st: RE: R squared for constrained regression

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/


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