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RE: st: variance of R2


From   agostino@unical.it
To   statalist@hsphsun2.harvard.edu, Maarten Buis <M.Buis@fsw.vu.nl>
Subject   RE: st: variance of R2
Date   Wed, 8 Aug 2007 19:12:34 +0200

Thanks Maarten, I received your email afterwards...
cheers
Maria
Citazione Maarten Buis <M.Buis@fsw.vu.nl>:

> --- 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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