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Re: st: Effects of Restrictions on R2


From   Olga Lyashevskaya <olgalyashevskaya@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Effects of Restrictions on R2
Date   Mon, 13 Aug 2007 06:18:28 -0700 (PDT)

Dear Erasmo,

I don't whether you have some specific reasons to
compare R2's for your  
models. I was always taught to be careful with R2.

So my personal preference would be to use the
likelihood ratio test as you  
can use the asymptotic properties of your data. It is
also a simple and  
convenient for comparing nested models.

I hope that I am not confusing you with my advice, as
I am only learning  
and can be wrong. I hope the experts will comment on
it.


Kind regards,
Olga



On Mon, 13 Aug 2007 13:58:33 +0200, Erasmo Giambona
<e.giambona@gmail.com>  
wrote:

> Dear statalisters,
>
> I am estimating two modes using the same sample
(about 10,000  
> observations):
>
> A: Yi= a1+ a2 Xi2+a2 Xi3 + a3 Xi4 + ei - the
estimates on X2 and X3
> are restricted to be the same (RESTRICTED MODEL)
>
> B: Yi= a1+ a2 Xi2+a3 Xi3 + a4 Xi4 + ei - the
coefficients on X2 and X3
> are NOT restricted to be the same (UNRESTRICTED
MODEL).
>
> I understand from Jan Kmenta, Elements of
Econometrics, Macmillan
> (1971), pp: 448-449 that the R2 for the unrestricted
model will always
> be higher. What I don't understand is whether the R2
can be
> significantly higher if the unrestricted
coefficients are
> significantly different from the restricted
coefficients. Indeed, my
> unrestricted coefficients are significantly
different from the
> restricted coefficients and yet the R2's are almost
identical. I find
> this result puzzling.
>
> Any help is appreciated.
>
> Erasmo
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