Dear all,
For my study, I ran a multiple regression with robust standard error, and a clustered multiple regression with robust standard error (using Huang's (2020) SPSS macro).
I noticed that the Rsquare of the simple multiple regression was the same as that of the robust standard error regression.
But when I run the regression with the clustered robust standard error, I don't get the Rsquare value. I was wondering if this is the same as for regression with robust standard error?
If the Rsquare doesn't change with different adjustments of the standard error ( robust standard error, or cluster robust standard error ) , could someone explain the idea behind it?
If not, could you tell me how to get the “Model Summary” output containing the Rsquare for the clustered robust standard error regression?
I am using IBM SPSS version 27
Thanks in advance,
Moi Iannello R2 is an assessment of how well the IDV explains the variance in the DVs.
When you utlizes robust standard errors, whether heteroskedasticity-robust or clustered, you are adjusting the standard errors of the regression coefficients to be more reliable under certain conditions (like heteroskedasticity or clustering) of your numerical data.
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