>I am using SAS PROC TSCSREG & STATA XTREG to run a fixed-effect model
>on the same panel data. I got same coefficient estimates but rather
>different R-squared. The R-squared in SAS TSCSREG is always close to
>1, and much higher than in STATA XTREG. Does anybody know why? And how
>can i correct the R-squared in SAS?
Most of the methods which have a one-way fixed effects model or a two-way
fixed effects model end up using the OLS estimators as the point estimates
for the intercept and the fixed effects. So I'm totally unsurprised that
the same coefficient estimates. I wouldn't have been surprised if you got
same coefficients using PROC GLM or PROC MIXED either.
HOWEVER, none of these methods use the exact same variance formulations.
I would have to guess that this is what you are seeing. PROC TSCSREG
provides at least half a dozen methodologies, each of which can give you a
different variance estimate, and hence a different R-squared.
Like it matters. The real problem is that the conventional R-squared
you are used to seeing from Ordinary Least Squares is just not appropriate
for these models. What you are likely to be getting from SAS is a
of R-squared, due to Buse. (If there's no intercept in the model, I think
you get Theil's estimate.) But this is *not* an R-squared, and should not
be treated as such.
I don't know what STATA computes, but it probably has a different
of R-squared, which uses different computations. I do not believe that
will give you the OLS R-squared either, because they have too much sense.
Why do you want to compare R-squared estimates anyway?
David L. Cassell
3115 NW Norwood Pl.
Corvallis OR 97330
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