Increase in R-squared to to new depvar added to regression

[Marius Mai]

Dear Statalist members,

for my master thesis I need to investigate the increase of R-squared of each additional variable added, i.e. similar to the table in the appendix.
Does anyone have any idea how to do that?

Here is an extract of my sample:

"Farmers Savings Bank, Colesburg, Iowa"                                 2005 "UNITED STATES OF AMERICA"                 73 .9178082  .7671233  3904 24
"Raiffeisenbank Donnersberg eG"                                         2005 "GERMANY"                          141.828996 .9385965  .8859649  7978  8
"Home Savings Bank, Utah"                                               2005 "UNITED STATES OF AMERICA"                 85 .8823529  .7764706  5718 24
"Raiffeisenbank Liezen rGmbH"                                           2005 "AUSTRIA"                           136.85254 .8818182        .8  8161  1
"City State Bank, Central City, Iowa"                                   2005 "UNITED STATES OF AMERICA"                 81 .9012346  .7037037  2865 24
"First Bank Blue Earth"                                                 2005 "UNITED STATES OF AMERICA"                130       .9  .7769231  4121 24
"The North Country Savings Bank"                                        2005 "UNITED STATES OF AMERICA"                236 .8771186  .7584746 10987 24
"Security Business Bank of San Diego"                                   2005 "UNITED STATES OF AMERICA"                124 .8629032  .8467742  8876 24
"First Federal Savings Bank of Twin Falls"                              2005 "UNITED STATES OF AMERICA"                372 .9086022  .8467742  4369 24
"Raiffeisenbank Benken"                                                 2005 "SWITZERLAND"              223.82043023260476 .9677419  .5949821  7936 22
"Citizens Bank, Carthage, Tennessee"                                    2005 "UNITED STATES OF AMERICA"                447  .852349  .8456376  2711 24
"Decatur County Bank Inc"                                               2005 "UNITED STATES OF AMERICA"                 81 .8765432  .7037037  3495 24
"Norvik Banka"                                                          2005 "LATVIA"                           469.030978 .9204244  .6816976  7162 13
"InsBank"                                                               2005 "UNITED STATES OF AMERICA"                 74 .9189189  .6756757  5885 24
"Banca Popolare di Aprilia SpA"                                         2005 "ITALY"                             758.90954 .8737705  .6278688   609 12
"The Franklin Savings and Loan Company"                                 2005 "UNITED STATES OF AMERICA"                294 .9217687  .7517007 10799 24
"United National Bank, Georgia"                                         2005 "UNITED STATES OF AMERICA"                126 .9126984  .8095238 11523 24
"NewFirst National Bank"                                                2005 "UNITED STATES OF AMERICA"                213 .9201878   .915493  7032 24
"Tri-Parish Bank"                                                       2005 "UNITED STATES OF AMERICA"                119  .907563  .8319328 11324 24
"Volksbank Voecklabruck-Gmunden e.Gen."                                 2005 "AUSTRIA"                          633.254026 .9292731  .6679764 12289  1
"MainSource Bank-Hobart"                                                2005 "UNITED STATES OF AMERICA"                236 .9110169  .6144068  6502 24
"Cornerstone Community Bank, Florida"                                   2005 "UNITED STATES OF AMERICA"                243 .9300411  .8395061  3304 24
"First Bank of the South, Alabama"                                      2005 "UNITED STATES OF AMERICA"                 69 .9275362  .9130435  4172 24
"Sparkasse Miltenberg-Obernburg"                                        2005 "GERMANY"                         2119.970256 .9442489  .7306338  9413  8
"United State Bank"                                                     2005 "UNITED STATES OF AMERICA"                 69 .9130435  .8260869 11543 24
"Raiffeisenbank Aichhalden - Hardt - Sulgen eG"                         2005 "GERMANY"                  153.02602199999998 .9512195  .6747968  7888  8
"The Bank of Commerce, Florida"                                         2005 "UNITED STATES OF AMERICA"                260 .9192308  .8692307 10080 24
"GreatBank"                                                             2005 "UNITED STATES OF AMERICA"                352 .9403409  .9090909  5405 24
"The Capon Valley Bank"                                                 2005 "UNITED STATES OF AMERICA"                132 .9090909  .8409091 10206 24
"Biene - Bank im Rheintal"                                              2005 "SWITZERLAND"               457.2675456365044 .9263158  .5824561  1738 22
"Bank of Gower"                                                         2005 "UNITED STATES OF AMERICA"                 34 .9117647  .7352941  1239 24
"Stadtsparkasse Schmallenberg"                                          2005 "GERMANY"                  501.37794199999996 .9578164  .4937965  9645  8
"The Shelby State Bank"                                                 2005 "UNITED STATES OF AMERICA"                160       .9    .88125 11119 24
"Centric Bank"                                                          2005 "UNITED STATES OF AMERICA"                 81 .9259259  .8518519  2555 24
"Raiffeisenbank Schwabmuenchen eG"                                      2005 "GERMANY"                           261.26394 .9571428  .8238095  8345  8
"BTC Bank"                                                              2005 "UNITED STATES OF AMERICA"                159 .8742138  .7924528   514 24
"VR-Bank Donau-Mindel eG"                                               2005 "GERMANY"                          344.619578 .9314079  .7942238 11638  8
"First Federal Bank, Kentucky"                                          2005 "UNITED STATES OF AMERICA"                128 .8046875  .6796875  4346 24
"Spar-und Kreditbank Hardt eG"                                          2005 "GERMANY"                          296.099132 .9495798  .7352941  9182  8
"First Keystone Bank"                                                   2005 "UNITED STATES OF AMERICA"                513 .9122807  .6978558  4457 24
"Banca di Credito Cooperativo di Gradara Societ‡ Cooperativa"           2005 "ITALY"                            476.495662 .9112272    .45953   847 12
"Cassa di risparmio di Bra SpA"                                         2005 "ITALY"                            829.824038 .9130435 .40329835  2433 12
"Mount Vernon Bank"                                                     2005 "UNITED STATES OF AMERICA"                 84 .9166667  .8690476  6867 24
"PSD Bank Westfalen-Lippe eG"                                           2005 "GERMANY"                   770.1065659999999 .9563813  .8271406  7329  8
"Westerwald Bank eG"                                                    2005 "GERMANY"                         2178.443614 .9457453  .7452884 12556  8
"Sparkasse Trier"                                                       2005 "GERMANY"                           4043.3705 .9452308  .6913846  9510  8
"Ohnward Bank & Trust"                                                  2005 "UNITED STATES OF AMERICA"                 90       .9  .7777778  7213 24
"Banca di Credito Cooperativo San Giorgio di Caccamo"                   2005 "ITALY"                    27.370507999999997 .8636364  .7272727   738 12
"Carolina Trust Bank Inc"                                               2005 "UNITED STATES OF AMERICA"                103 .8737864  .7961165  2271 24
"Raiffeisenbank Villmergen"                                             2005 "SWITZERLAND"               463.6853357507009 .9653979  .6574395  8413 22
"Appalachian Community Bank"                                            2005 "UNITED STATES OF AMERICA"                592 .9189189  .8293919   378 24
"Raiffeisen Regionalbank Moedling eGen"                                 2005 "AUSTRIA"                             622.057     .942        .7  7846  1
"Union State Bank, Winterset, Iowa"                                     2005 "UNITED STATES OF AMERICA"                 88 .9318182      .875 11455 24
"Fifth District Savings Bank"                                           2005 "UNITED STATES OF AMERICA"                387  .875969   .870801  4071 24
"UMB Bank"                                                              2005 "UNITED STATES OF AMERICA"                 98 .9081632  .8979592 11381 24
"STAR Financial Bank"                                                   2005 "UNITED STATES OF AMERICA"               1406  .901138  .7681366  8735 24
"The First National Bank of Nelsonville"                                2005 "UNITED STATES OF AMERICA"                 53 .9245283  .9056604 10668 24
"Volksbank Raiffeisenbank eG Greifswald"                                2005 "GERMANY"                          477.739776 .9453125  .7786458 12194  8
"Spar Nord Bank"                                                        2005 "DENMARK"                  7599.3058439999995 .9332322 .49154145  9165  4
"Volksbank Triberg eG"                                                  2005 "GERMANY"                          395.628252 .9308176  .5597484 12271  8
"The Covington Savings and Loan Association"                            2005 "UNITED STATES OF AMERICA"                 65 .8153846        .8 10335 24
"Capital Bank, North Carolina"                                          2005 "UNITED STATES OF AMERICA"                925 .8962162  .7697297  2238 24
"Riverside Bank of the Gulf Coast"                                      2005 "UNITED STATES OF AMERICA"                527 .9278938  .7362429  8642 24
"The Bank of Jackson"                                                   2005 "UNITED STATES OF AMERICA"                108 .8981481  .8333333 10110 24
"Banque RÈvillon SA"                                                    2005 "FRANCE"                           175.420074 .8156028 .16312057  1623  7
"Raiffeisen-Volksbank Fuerth eG"                                        2005 "GERMANY"                          364.525402 .9488055  .6757679  7862  8
"Middletown State Bank"                                                 2005 "UNITED STATES OF AMERICA"                 19 .9473684  .8421053  6741 24
"Jefferson Bank and Trust Company"                                      2005 "UNITED STATES OF AMERICA"                763 .9187418   .740498  5997 24
"Southern Heritage Bank, Louisiana"                                     2005 "UNITED STATES OF AMERICA"                186 .9032258  .8924731  9130 24
"Security Federal Savings Bank, Massachusetts"                          2005 "UNITED STATES OF AMERICA"                118 .8898305   .779661  8882 24
"Wilmington Trust NA"                                                   2005 "UNITED STATES OF AMERICA"                625    .8608     .8464 12594 24
"Minnesota Lakes Bank"                                                  2005 "UNITED STATES OF AMERICA"                 56 .8928571      .875  6789 24
"First Valley Bank"                                                     2005 "UNITED STATES OF AMERICA"                 42 .9285714  .8809524  4974 24
"Southern Missouri Bank of Marshfield"                                  2005 "UNITED STATES OF AMERICA"                 81 .9135802  .7654321  9136 24
"Aachener Bank eG"                                                      2005 "GERMANY"                   875.8562559999999 .9360796  .7102273    76  8
"The Citizens State Bank, Moundridge, Kansas"                           2005 "UNITED STATES OF AMERICA"                155 .8967742  .8645161 10284 24
"North Houston Bank"                                                    2005 "UNITED STATES OF AMERICA"                383 .8798956  .5926893  7090 24
"Your Community Bank"                                                   2005 "UNITED STATES OF AMERICA"                665 .9263158  .6992481 12663 24
"The Bank, Illinois"                                                    2005 "UNITED STATES OF AMERICA"                105 .9047619  .8952381 10159 24
"The State Bank of Lebo"                                                2005 "UNITED STATES OF AMERICA"                 23 .9130435  .6956522 11146 24
"Sparkasse Bayreuth"                                                    2005 "GERMANY"                         2630.056996 .9593188  .7369915  9272  8
"First Commercial Bank, Oklahoma"                                       2005 "UNITED STATES OF AMERICA"                176 .9147727  .7613636  4256 24
"Markaryds Sparbank"                                                    2005 "SWEDEN"                           106.253928 .8030303  .7878788  6549 21
"American Exchange Bank, Nebraska"                                      2005 "UNITED STATES OF AMERICA"                 33 .8787879  .8484849   262 24
"First Community Bank of East Tennessee"                                2005 "UNITED STATES OF AMERICA"                219 .9086758  .8173516  4274 24
"Sparkasse Waldeck Frankenberg"                                         2005 "GERMANY"                         2442.195782 .9572083  .6724402  9524  8
"The Cattle National Bank and Trust Company"                            2005 "UNITED STATES OF AMERICA"                132 .9015151  .8181818 10212 24
"Inland Bank and Trust"                                                 2005 "UNITED STATES OF AMERICA"                261 .9118774  .8735632  5881 24
"State Bank of Park Rapids"                                             2005 "UNITED STATES OF AMERICA"                107 .9252337   .682243  9763 24
"Tensas State Bank"                                                     2005 "UNITED STATES OF AMERICA"                 80     .875      .825  9989 24
"Four Corners Community Bank"                                           2005 "UNITED STATES OF AMERICA"                113  .920354  .8761062  5131 24
"HillTop Community Bank"                                                2005 "UNITED STATES OF AMERICA"                152 .9210526  .9013158  5667 24
"Salzburger Sparkasse Bank AG"                                          2005 "AUSTRIA"                  4966.5030879999995 .9579158  .5723948  8760  1
"The Provident Bank, New Jersey"                                        2005 "UNITED STATES OF AMERICA"               6011 .8437864  .6569622 11079 24
"Premier Bank Minnesota"                                                2005 "UNITED STATES OF AMERICA"                185 .9297297  .9189189  7708 24
"Yuma Community Bank"                                                   2005 "UNITED STATES OF AMERICA"                 62 .8870968  .8387097 12664 24
"Raiffeisenbank eG Heide"                                               2005 "GERMANY"                          269.972738 .9308756  .7511521  8495  8
"Caisse d'Epargne de la Ville de Fribourg-Sparkasse der Stadt Freiburg" 2005 "SWITZERLAND"              231.84266787535046 .9238755  .4429066  1947 22
"Bank of Hydro"                                                         2005 "UNITED STATES OF AMERICA"                 80    .9125     .7125  1265 24
"Sparkasse Bodensee"                                                    2005 "GERMANY"                   5047.370497999999 .9536604 .59452796  9279  8
end

In my first regression, I control for country and time fixed effects:

xi: reg Leverage Profitability_lag Size_lag Collateral_lag i.identifier_country i.year, vce(cluster identifier_bank)

In the second regression, I control for firm fixed effects instead of country fixed effects. Due to the number of distinct firms, I use the areg command:

areg Leverage Profitability_lag Size_lag Collateral_lag i.year, absorb(identifier_bank) vce(cluster identifier_bank)

Can anyone help me replicating the column displaying the increase in R-squared in the table in the appendix?

Thank you
Marius
****
I use Stata 13.0

[Phil Bromiley]

You'll increase your chance of a useful answer by following the FAQ o asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex.

You can always do this manually - run each of the models sequentially, calculate the difference in R-square, and copy and paste it. It can be programmed but given your experience with Stata, it is probably easier to just copy various r-squares into excel and do the calculations that way. As to the table with parameters and standard errors, there are numerous Stata procedures that will do this. I like outreg2.

[Carlo Lazzaro]

Marius:
are you sure the you shouldn't investigate adjusted R-square, too?

[Marius Mai]

@ Phil: Thanks for your response. I noticed that the incremental R2's of each variable do not add up to .8 of total R2. Is this reasonable?

@ Carlo: I am actually interested in R2, but I guess it will work out in the same way for adj. R2. Do you have any idea how to do it?