help devr2-------------------------------------------------------------------------------

Title

devr2-- Calculates a deviance based R-squared measure for models estimated using the[R] glmcommand. The measure is based on Cameron and Windmeijer, 1997.

Description

devr2calculates a deviance based R-squared measure for regression models in the exponential family with known scale parameter. This is equal to1-[(deviance of the fitted model)/(deviance of the constant only model)]

It measures the proportionate reduction in recoverable information due to the inclusion of regressors, where information is measured by the estimated Kullback-Leibler divergence, and may be loosely interpreted as the fraction of uncertainty explained by the fitted model.

Further details are given in Cameron and Windmeijer, 1997.

Currently, the command can only be used following model estimation using the

[R] glmcommand.

Saved results

devr2saves the following inr():Scalars

r(dev_model)Deviance of the fitted modelr(dev_null)Deviance of the constant only modelr(devr2)Deviance based R-squared value

AuthorBrilleman, S. email: louis-george@hotmail.com

ReferenceCameron, A. C. & Windmeijer, F. A. G. (1997). An R-squared measure of goodness of fit for some common nonlinear regression models.

Journal ofEconometrics77:329-342.

Also seeOnline:

[R] glm