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RE: st: variance of R2


From   "Maarten Buis" <M.Buis@fsw.vu.nl>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: variance of R2
Date   Wed, 8 Aug 2007 18:04:29 +0200

--- agostino@unical.it wrote:
> 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

Why not do something like this:

*------ begin example --------
sysuse auto, clear
xi: reg pri I.foreign*mpg
testparm _I*
*-------- end example --------

Here you have two samples (foreign and domestic cars), and the output from 
-testparm- gives you a test that the constants and the effect of weight are
the same. Alternatively you could interpret the test as a test of the 
hypothesis that the R2 of the constrained model is the same as the R2 of the
unconstrained model. This is not a test of the hypothesis that the R2 in the
two samples are the same, as this hypothesis is non-sensical: any difference
in R2 could be due to a difference between samples in the amount of variance 
that is to be explained (TSS) and/or a difference in the amount of variance 
that can be explained (MSS). 

Hope this helps,
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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