st: Difference in models

["Herrnstadt, Evan" <Herrnstadt@rff.org>]

Hi all,

I am using STATA 9.2 for Windows.

I have run two regressions, identical except for the main independent
variable.  I need to figure out if the R-square is significantly larger
in the first compared to the second.  Is there a simple test statistic?
Thanks for your help.

Evan Herrnstadt
Resources for the Future


The output is as follows:

reg pct_error gdp_real_error lagdum*, cluster(trend)

Total Total 

Linear regression                                      Number of obs =
97
                                                       F(  5,    21) =
6.27
                                                       Prob > F      =
0.0010
                                                       R-squared     =
0.3488
Number of clusters (trend) = 22                        Root MSE      =
.02017

------------------------------------------------------------------------
------
             |               Robust
   pct_error |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+----------------------------------------------------------
------
gdp_real_e~r |   .3116177   .0607605     5.13   0.000     .1852593
.4379761
     lagdum2 |   .0036799    .002839     1.30   0.209    -.0022242
.0095839
     lagdum3 |   .0082304   .0053406     1.54   0.138     -.002876
.0193369
     lagdum4 |   .0113483   .0058372     1.94   0.065    -.0007907
.0234873
     lagdum5 |   .0088067   .0054906     1.60   0.124    -.0026117
.0202251
       _cons |   .0209833   .0046307     4.53   0.000     .0113532
.0306135
------------------------------------------------------------------------
------

reg pct_error cbo_real_error lagdum*, cluster(trend)

Total Total 

Linear regression                                      Number of obs =
97
                                                       F(  5,    21) =
2.21
                                                       Prob > F      =
0.0916
                                                       R-squared     =
0.2000
Number of clusters (trend) = 22                        Root MSE      =
.02236

------------------------------------------------------------------------
------
             |               Robust
   pct_error |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+----------------------------------------------------------
------
cbo_real_e~r |   .4210285    .139507     3.02   0.007     .1309077
.7111492
     lagdum2 |   .0036774   .0027576     1.33   0.197    -.0020574
.0094122
     lagdum3 |   .0080132   .0055058     1.46   0.160    -.0034368
.0194632
     lagdum4 |   .0104539   .0060443     1.73   0.098    -.0021159
.0230237
     lagdum5 |   .0070326   .0065482     1.07   0.295    -.0065851
.0206504
       _cons |   .0056835    .003949     1.44   0.165     -.002529
.0138959
------------------------------------------------------------------------
------


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