reghdfe和xtreg究竟看哪个R2?

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当我们使用reghdfe和xtreg,fe命令时会得到各种R2,组内、组间、整体以及调整R2,那么我们究竟应该报告哪一个呢？下面两张图片截自Statalist Forums.是论坛大神Carlo Lazzaro的回复。

根据上述两个回复，Carlo Lazzaro的观点是：无论是xtreg还是reghdfe，都应该参看Within-R2.

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关键词：xtreg REG GHD STATALIST Forums

你好，我想请教一个问题，我固定个体效应以后，R2就突然变得很大，你知道可能是什么原因吗？我的数据不存在共线性。

变得很大是多大，我看不到你的命令和数据，不好判断

楼主你好，我分别用了xtreg、areg、reghdfe进行计算，在系数标准误都没有太大差异的情况下，其中reghdfe的组内R2变得非常小，请问这种怎么处理呀？谢谢
https://bbs.pinggu.org/thread-10771876-1-1.html
这个是我发的帖子 上面有图片

Why are there four R2s? Which one should I use?
The problem of the standard r2 under many fixed effects is that its value will mostly be driven by the fixed effects and not by the regressors of interest. As a solution, the within-r2 computes the r2 of the regression where every variable has already been demeaned with respect to all the fixed effects.

Therefore, on top of the usual r2 (e(r2)) and the adjusted r2 (e(r2_a)), we have the within-r2 (e(r2_within)) and the adjusted within-r2 (e(r2_a_within)).

If what you want an acid r2 that relates only to the variables of interest and is not driven by the fixed effets, I would suggest the adjusted within-r2.