I'm performing a random effects analysis on panel Data, and I haven't been able to find an answer to the question, which R-square should I look at: within, between or random?

I know that for fixed effects I have to use within, but what about for random effects?

I am using Stata.


1 Answer 1


Random effect estimator (GLS estimator) is a weighted average of between and within estimators. In Stata, the default is random effect and you need to use R-squared: overall. As specified here, R-sq: within is not correct for fixed effect and there are alternatives to correct that in Stata. For example you need to use R-square from the one provided by either regressor areg. Also, see here for details.

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