calculating R^2 and fit statistics in general doesn't make sense for
comparing relogit and logit. Logit will fit better, but relogit will be
less biased. In almost all applications its bias rather than fit that
we're shooting for. its the same for comparing OLS and WLS by the way:
WLS will never fit better than OLS (which after all is _least_ squares)
but if done properly WLS will have better statistical properties.
Best,
Gary
On Thu, 22 Mar 2007, Stijn Bruyneel wrote:
> Dear authors of RELOGIT,
>
>
> I am a Phd student who is currently investigating entrepreneurship. I make use
> of a dataset in which only few events are present. To investigate the impact of
> rare events on my logistic results, I make use of your RELOGIT package written
> for STATA.
>
> In my work I try to compare standard logistic results with the rare events
> results in order to evaluate the necessity of using the RELOGIT package. In
> order to make a good comparison, I would like to generate R² in the relogit
> regression. Does the RELOGIT package supply such modality?
>
> If this is not the case, and I should want to calculate R² myself, is there
> anything specific I need to take into account when accurately calculating R²?
>
> Thanks for your advice,
>
> Stijn Bruyneel
> Ph.D. student
> Hasselt University
> Department of Business Administration
> Faculty of Applied Economics
> Agoralaan - building D
> 3590 Diepenbeek (Belgium)
>
> tel: +32 11 26 86 38
> fax: +32 11 26 87 00
> e-mail: stijn.bruyneel(a)uhasselt.be
>
>
