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FITSTAT: Stata module to compute fit statistics for single equation regression models

Author

Listed:
  • J. Scott Long

    () (Indiana University)

  • Jeremy Freese

    () (Indiana University)

Abstract

fitstat is a post-estimation command that computes a variety of measures of fit for many kinds of regression models. It works after the following: clogit, cnreg, cloglog, intreg, logistic, logit, mlogit, nbreg, ocratio, ologit, oprobit, poisson, probit, regress, zinb, and zip. With the saving() and using() options, it can also be used to compare fit measures for two different models. For all models, fitstat reports the log-likelihoods of the full and intercept-only models, the deviance (D), the likelihood ratio chi-square (G2), Akaike's Information Criterion (AIC), AIC*N, the Bayesian Information Criterion (BIC), and BIC'. For all models except regress, fitstat reports McFadden's R2, McFadden's adjusted R2, the maximum likelihood R2, and Cragg & Uhler's R2. These measures all equal R2 for OLS regression. fitstat reports R2 and the adjusted R2 after regress. fitstat reports the regular and adjusted count R2 for categorical data models. For ordered or binary logit or probit models, as well as models for censored data (tobit, cnreg, or intreg), it also reports McKelvey and Zavonia's R2. In addition, it reports Efron's R2 for logit or probit. This is version 1.6.4 of the software.

Suggested Citation

  • J. Scott Long & Jeremy Freese, 2000. "FITSTAT: Stata module to compute fit statistics for single equation regression models," Statistical Software Components S407201, Boston College Department of Economics, revised 22 Feb 2001.
  • Handle: RePEc:boc:bocode:s407201
    Note: This module may be installed from within Stata by typing "ssc install fitstat". Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/f/fitstat.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/f/fitstat.hlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/f/fitstat.pdf
    File Function: documentation file
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    More about this item

    Keywords

    goodness of fit; regression; logit; provit; poisson;

    Statistics

    Access and download statistics

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