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st: RE: Reference for test of incremental R-square


From   Garry Anderson <g.anderson@unimelb.edu.au>
To   statalist@hsphsun2.harvard.edu
Subject   st: RE: Reference for test of incremental R-square
Date   Thu, 13 Nov 2008 09:44:36 +1100

Hi Serana,
 
-findit pcorr2-  returns

pcorr2 from http://fmwww.bc.edu/RePEc/bocode/p
    'PCORR2': module to display partial and semipartial correlation
    coefficients / pcorr2 displays partial and semipartial correlation
    coefficients. / It is a modified and enhanced version of the pcorr
    command, / which only displays partial correlations.

Cheers, Garry

________________________________

From: owner-statalist@hsphsun2.harvard.edu on behalf of SM
Sent: Thu 13/11/08 09:17
To: statalist@hsphsun2.harvard.edu
Subject: st: Reference for test of incremental R-square



Hi ,

I have to compare the following (nested/ hierarchical?) models in
order to test whether  the variables included in second model
significantly increase the goodness of fit.

1)  Y = ?0 + ?1 BV + ?2NI + ?
2)  Y = ß0 + ß1 BV + ß2 NI + ß3  TANG + ?

My questions are the following:

I. It's not clear to me the difference between nested and hierarchical
regressions. Is defined hierarchical a regression in which I simply
add new variables ? If it so, my models (1-2) should be hierarchical.
Conversely, is nested model a regression in which I decompose the
components of a variable? For example, if I add a third model, in
which TANG is decomposed in  TANG1 TANG2 TANG3.

   3) Y = g0 + g1 BV + g2 NI + g3  TANG1+ g4 TANG2+ g5TANG3+ ?

II.   In order to test whether the goodness of fit of 2 model
significantly increases, I employ the following test, found in
econometric textbook (considering model 2 = full model):

    ? R2/ ?df       = F (? R2  , df full)
(1-  R2full)/df full

Is it correct ??  Can you give me some specific reference on this test ?

III. In Cox's book "A gentle introduction to Stata" page 216, test of
semipartial correlation of variables is performed  by pcorr2. Even if
the author suggests to install it with findit pcorr2, I am not able to
find the program anywhere. Can anybody suggest how can I install it
???

Thanks so much.

Kind Regards,

Serena

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