Dear Liviu,
we're still working on measures of fit for panels. If I get you right,
what you mean is the R^2 of the demeaned, or "within", regression. A
quick and dirty function to do this is:
pmodel.response<-plm:::pmodel.response.plm # needs this to make the
method accessible
r2<-function(x, adj=TRUE) {
## fetch response and residuals
y <- pmodel.response(x, model="within")
myres <- resid(x)
n <- length(myres)
if(adj) {
adjssr <- x$df.residual
adjtss <- n-1
} else {
adjssr <- 1
adjtss <- 1
}
ssr <- sum(myres^2)/adjssr
tss <- sum(y^2)/adjtss
return(1-ssr/tss)
}
and then
> r2(yourmodel)
Hope this helps
Giovanni
------------------------------
Message: 13
Date: Tue, 11 May 2010 13:21:02 +0100
From: Liviu Andronic <landronim...@gmail.com>
To: Daniel Malter <dan...@umd.edu>
Cc: r-help@r-project.org
Subject: Re: [R] Regressions with fixed-effect in R
Message-ID:
<aanlktikvi6_-qvh-odr31eiippuq1sra0-qconqzh...@mail.gmail.com>
Content-Type: text/plain; charset=UTF-8
Dear Daniel
On 5/11/10, Daniel Malter <dan...@umd.edu> wrote:
> R-squared of interest is typically the within R-squared, not the
overall or
>
Could you point to an example on how to compute the within R-squared
in R, either via lm() or plm()?
Thank you
Liviu
--------------------------------
Giovanni Millo
Research Dept.,
Assicurazioni Generali SpA
Via Machiavelli 4,
34132 Trieste (Italy)
tel. +39 040 671184
fax +39 040 671160
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