06-26-2013 02:35 AM
I am using a financial panel data , I would like to run regression using Proc genmod , clustering by firm. I am surprised the out put does not provide Adjusted R square when the y variable is not binary. Could somebody help how to get adjusted R squared when I do regression using PROC GENMOD .
06-26-2013 01:24 PM
PROC GENMOD uses maximum likelihood methods rather than ordinary least squares to obtain estimates. Consequently, adjusted R squared as it is usually thought of is not (and really cannot be) reported. Further, I wonder how you "cluster" by firm in a procedure that does not accommodate hierarchical clustering--that would be the domain of PROC GLIMMIX. But I could be misunderstanding the terminology of the particular field.
Anyway, Google is always your friend. It tells me that scaled deviance and Pearson's chi square are the usual methods for generalized linear models, including those with a normal distribution.