Home › Forums › ASREG : Rolling window and Fama-MacBeth Regressions › asreg root mean squared RMSE in Stata
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Phil Maier
GuestMay 10, 2020 at 7:32 pmPost count: 118First, 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,
PhilHere 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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