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Re: st: Difference in models


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Difference in models
Date   Mon, 29 Oct 2007 16:40:44 +0000 (GMT)

--- "Herrnstadt, Evan" <Herrnstadt@rff.org> wrote:
> 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?

<snip>

> reg pct_error gdp_real_error lagdum*, cluster(trend)

<snip>

> reg pct_error cbo_real_error lagdum*, cluster(trend)

The problem is that these two models are not nested, so there is not
test I know of (but I don't know everything) that can help you here.
What you can look at here are Information Criteria (BIC or AIC) that
you can recover using -est stats-. 

The real question is, do you really want to use a test here? Do you
have a hypothesis you substantively care about? Often when people
formulate there test in terms of R2 they are in a fase prior to
testing: selecting the model. If that is your situation, use the
formidable aresenal of model diagnostic tools discussed in 
-help regress postestimation- to get a feel for which variable performs
better.

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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