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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/ > > ----------------------------------------- > > > > > > * > > * 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/ > > > > > -- > 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/

**Follow-Ups**:**RE: st: RE: variance of R2***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**References**:**RE: st: RE: variance of R2***From:*"Maarten Buis" <M.Buis@fsw.vu.nl>

**Re: st: RE: variance of R2***From:*"Stas Kolenikov" <skolenik@gmail.com>

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