Hi all,
I've encountered an issue with absurdly low R^2 values using xtreg. The output reads as follows:
Now I don't understand how the R^2 value can be that low. Especially the between-one seems weird, considering i'm using fixed effects, which should account for most of the between-variation, no? Also, when I use predict, the correlation between the predicted value and the actual value of the variable is quite high, around 0.6. With this, and since all my variables seem fairly significant, I don't understand what's going on here. I should note that this is quite robust to various specifications of the model, I added und subtracted variables, used RE insted of FE etc, and nothing changed this low R2. Do any of you have an idea what the problem could be here?
Best regards
Tim
I've encountered an issue with absurdly low R^2 values using xtreg. The output reads as follows:
Code:
. xtreg gdp_growth ln_street_hat gdp_de_growth lag_ln_gdp_pc lag_ln_rate_street , fe vce(r) Fixed-effects (within) regression Number of obs = 4,812 Group variable: region_id Number of groups = 401 R-sq: Obs per group: within = 0.3094 min = 12 between = 0.0011 avg = 12.0 overall = 0.0613 max = 12 F(4,400) = 269.08 corr(u_i, Xb) = -0.8802 Prob > F = 0.0000 (Std. Err. adjusted for 401 clusters in region_id) ------------------------------------------------------------------------------------ | Robust gdp_growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------------+---------------------------------------------------------------- ln_street_hat | -.3368946 .1511572 -2.23 0.026 -.6340565 -.0397327 gdp_de_growth | .8132571 .082375 9.87 0.000 .651315 .9751992 lag_ln_gdp_pc | -.2128467 .0568266 -3.75 0.000 -.3245629 -.1011305 lag_ln_rate_street | .1413698 .0806067 1.75 0.080 -.0170959 .2998355 _cons | 3.54519 1.07787 3.29 0.001 1.426192 5.664188 -------------------+---------------------------------------------------------------- sigma_u | .04698124 sigma_e | .03586871 rho | .63175799 (fraction of variance due to u_i) -----------------------------------------------------------------------------
Best regards
Tim
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