Fraction of variance explained by i.individual

[Adrian Schmid]

Hello,

I have a problem with my regression which looks like the following:

reg dependet_variable i.firm i.time v1 v2 v3

now I want stata to show me which part of the variance is explained by firm fixed effects i.firm.

Thank you very much!!!

Regards.

[Clyde Schechter]

reg dependet_variable i.firm i.time v1 v2 v3
local full_r2 = e(r2)
reg dependet_variable i.time v1 v2 v3 if e(sample)
local reduced_r2 = e(r2)
display "Fraction of variance attributable to i.firm: =`full_r2'-`reduced_r2'"

[Adrian Schmid]

Thank you so much!!!

Regards,
Adrian

[Rich Goldstein]

note that, unless your covariates are orthogonal to each other, some amount of explained variation is shared across variables; that means your question is unclear (to me at least) and that Clyde's answer deals only with the "unique" part - of course, that may be what you want