Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: variance of R2


From   agostino@unical.it
To   statalist@hsphsun2.harvard.edu, Stas Kolenikov <skolenik@gmail.com>
Subject   Re: st: variance of R2
Date   Wed, 8 Aug 2007 17:08:11 +0200

thank you Stas for your warning, I haven't seen your answer before
I need to compare the R2s from two different samples (as I wrote in my second 
message to statalist), as it is usually done in the literature I am currently 
studying, so I need to assess the statistical significance of the difference 
between two R2s
Cheers
Maria
Citazione Stas Kolenikov <skolenik@gmail.com>:

> On 8/8/07, agostino@unical.it <agostino@unical.it> wrote:
> > Dear all,
> > does anyone of you know how to compute the variance of the R2 (coefficient
> of
> > determination) in STATA?
> 
> What would you need this for? Anything that deals with R^2 is ad hoc,
> and standards of "decent" R^2 vary by discipline from 99% in physics
> and engineering to 5% in economics.
> 
> R^2 is a nonlinear transformation of F-statistic, and you can look up
> the variance of F (probably a non-central one) distribution in the
> standard textbooks. Then you can apply the delta method to get
> analytic asymptotic variance. The bootstrap is faster these days, of
> course, but it's always better to have answers from two completely
> different methods to see if they match. And if you thought the
> bootstrap is a universal remedy for every situation, you must read
> this: http://www.citeulike.org/user/ctacmo/article/575126 (and Stata
> Corp. might consider putting warnings arising from it in the biggest
> print possible in [R] bootstrap in the next printing :))
> 
> -- 
> Stas Kolenikov, also found at http://stas.kolenikov.name
> 
> Small print: Please do not reply to my Gmail address as I don't check
> it regularly.
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 




-------------------------------------------------
This mail sent through IMP: http://horde.org/imp/

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index