help rmse

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Title

    rmse -- Caluclate raw or adjusted RMSE (Root MSE)


Syntax

    rmse variable variable [varlist] [, options]


Description

    rmse provides a fast and easy way to calculate raw or adjusted RMSE,
    useful for checking prediction accuracy.

    rmse = [(sum of (y-yhat)^2)/(N - k - 1)]^.5
    where k is the number of parameters, usually regression coefficients.

    The results are stored in r-class locals.


Options

        +------+
    ----+ Main +-------------------------------------------------------------

    estimates Use the same sample and degrees of freedom (df) as the
            current regression results.

    df_m(#) # is k in the formula above. Comparable to e(df_m)

    raw Do not reduce the df by 1 [as in at the end of (N - k - 1)]


Examples

    * reproduce a single RMSE from a regression
    sysuse auto, clear
    regress mpg price rep78 headroom turn
    predict yhat
    di e(rmse)

    rmse mpg yhat, est


    * reproduce from scratch
    sysuse auto, clear
    regress mpg price rep78 headroom
    predict yhat
    gen resid=yhat-mpg
    gen resid2=resid*resid
    sum resid2 if e(sample)==1
    di e(rmse)
    di (r(mean)*e(N)/(e(N)-e(df_m)-1))^.5

    rmse mpg yhat if e(sample)==1, df_m(3)


    * multiple RMSE
    sysuse auto, clear
    rmse mpg price rep78 headroom
    ret list


Remarks

    The first variable is compared against the rest.


Author

    Roy Wada
    roywada@hotmail.com