asreg root mean squared RMSE in Stata

[Phil Maier]

#3295

First, I would like to thank you for your excellent Stata programs. These have extremely helped me conduct empirical asset pricing analyses.

I was wondering if I could ask you a question about asreg.

When I run a simple regression of, for instance market excess return on stock excess return, I use the rmse option to display the root mean squared error:

asreg excret mktrf, rmse

Alternatively, I could use:

gen rmse =.
reg excret mktrf
predict res, residuals
sum res, detail
replace rmse=r(sd)

However, the outcomes for the root mean squared error differ slightly and I have no clue why.

Do you happen to have any idea what the reason behind this is?

Thank you very much in advance.

Best regards,
Phil

[Attaullah Shah]

#3298

Here is my quick proof of asreg accuracy.
You can check your calculation

. sysuse auto, clear
(1978 Automobile Data)

. reg price mpg rep78

      Source |       SS           df       MS      Number of obs   =        69
-------------+----------------------------------   F(2, 66)        =     11.06
       Model |   144754063         2  72377031.7   Prob > F        =    0.0001
    Residual |   432042896        66  6546104.48   R-squared       =    0.2510
-------------+----------------------------------   Adj R-squared   =    0.2283
       Total |   576796959        68  8482308.22   Root MSE        =    2558.5

------------------------------------------------------------------------------
       price |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
         mpg |  -271.6425   57.77115    -4.70   0.000    -386.9864   -156.2987
       rep78 |   666.9568   342.3559     1.95   0.056     -16.5789    1350.492
       _cons |   9657.754    1346.54     7.17   0.000       6969.3    12346.21
------------------------------------------------------------------------------

. asreg reg price mpg rep78, rmse
variable reg not found
r(111);

. asreg  price mpg rep78, rmse

. list _rmse in 1

     +-----------+
     |     _rmse |
     |-----------|
  1. | 2558.5356 |
     +-----------+

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