*! version 1.0.0 Sam Brilleman 04feb2011
help devr2

Title

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

Description

devr2 calculates a deviance based R-squared measure for regression models in the
exponential family with known scale parameter. This is equal to

1-[(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] glm
command.

Saved results

devr2 saves the following in r():

Scalars

r(dev_model) Deviance of the fitted model

r(dev_null) Deviance of the constant only model

r(devr2) Deviance based R-squared value

Author

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

Reference

Cameron, A. C. & Windmeijer, F. A. G. (1997). An R-squared measure of goodness of fit for some
common nonlinear regression models. Journal of Econometrics 77:329-342.

Also see

Online: [R] glm