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RE: st: RE: variance of R2


From   "Maarten Buis" <M.Buis@fsw.vu.nl>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: variance of R2
Date   Wed, 8 Aug 2007 17:31:03 +0200

--- agostino@unical.it [mailto:agostino@unical.it] wrote:
> Do you reckon that now I can assess the significance of the difference between
> two R2's: R2_a and R2_b (obtained from the same model run on two different
> samples, a and b) using the boostrap SEs in the following way?
>
> (R2_a-R2_b)/sqrt[(SE_a)^2+(SE_b)^2]

The way to compare R squares is to use F-tests (as long as you are using the
same dependent variable). Though, I don't like the interpretation of a test
on "improvement" in R2. A much more sensible interpretation is as a test of
a constraint on the parameters, since it is the parameters that are of 
substantive interest not the R2.

-- Maarten

-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology 
Vrije Universiteit Amsterdam 
Boelelaan 1081 
1081 HV Amsterdam 
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434 

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


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