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Re: st: RE: variance of R2


From   agostino@unical.it
To   statalist@hsphsun2.harvard.edu, Stas Kolenikov <skolenik@gmail.com>
Subject   Re: st: RE: variance of R2
Date   Wed, 8 Aug 2007 18:27:56 +0200

Thank you very much for your attention. I really appreciate it. As Stas points 
out, I have two different samples with the same model. My first sample 
consists of firms observed for a number of years, the second is made of firms 
(some firms are the same as before, some are different) observed for a 
subsequent period...thus do you suggest to use an F- test?How could I compute 
it in STATA?
many thanks again
Maria

Citazione Stas Kolenikov <skolenik@gmail.com>:

> Maria has two different samples with the same model, not different
> models on the same sample. If the two samples are truly independently
> taken, then using the sum of variances in denominator is fine, as it
> boils down to something like a z-test, but if those data sets are two
> parts of the same sample, then doubts might arise.
> 
> On 8/8/07, Maarten Buis <M.Buis@fsw.vu.nl> wrote:
> > --- 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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> >
> 
> 
> -- 
> 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.
> *
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> 




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