r2(x, type = "all", full_names = FALSE)
A fixest
object, e.g. obtained with function feglm
or feols
.
A character vector representing the R2 to compute. The R2 codes are of the form: "wapr2" with letters "w" (within), "a" (adjusted) and "p" (pseudo) possibly missing. E.g. to get the regular R2: use type = "r2"
, the within adjusted R2: use type = "war2"
, the pseudo R2: use type = "pr2"
, etc. Use "cor2"
for the squared correlation. By default, all R2s are computed.
Logical scalar, default is FALSE
. If TRUE
then names of the vector in output will have full names instead of keywords (e.g. Squared Correlation
instead of cor2
, etc).
Returns a named vector.
The pseudo R2s are the McFaddens R2s, that is the ratio of log-likelihoods.
For R2s with no theoretical justification, like e.g. regular R2s for maximum likelihood models -- or within R2s for models without fixed-effects, NA is returned. The single measure to possibly compare all kinds of models is the squared correlation between the dependent variable and the expected predictor.
The pseudo-R2 is also returned in the OLS case, it corresponds to the pseudo-R2 of the equivalent GLM model with a Gaussian family.
For the adjusted within-R2s, the adjustment factor is (n - nb_fe) / (n - nb_fe - K)
with n
the number of observations, nb_fe
the number of fixed-effects and K
the number of variables.
# Load trade data
data(trade)
# We estimate the effect of distance on trade (with 3 fixed-effects)
est = feols(log(Euros) ~ log(dist_km)|Origin+Destination+Product, trade)
# Squared correlation:
r2(est, "cor2")
#> cor2
#> 0.7040186
# "regular" r2:
r2(est, "r2")
#> r2
#> 0.7040186
# pseudo r2 (equivalent to GLM with Gaussian family)
r2(est, "pr2")
#> pr2
#> 0.2353827
# adjusted within r2
r2(est, "war2")
#> war2
#> 0.2182526
# all four at once
r2(est, c("cor2", "r2", "pr2", "war2"))
#> cor2 r2 pr2 war2
#> 0.7040186 0.7040186 0.2353827 0.2182526
# same with full names instead of codes
r2(est, c("cor2", "r2", "pr2", "war2"), full_names = TRUE)
#> Squared Correlation R2 Pseudo R2 Adjusted Within R2
#> 0.7040186 0.7040186 0.2353827 0.2182526