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From |
"Alan Neustadtl" <alan.neustadtl@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Reference for test of incremental R-square |

Date |
Wed, 12 Nov 2008 22:35:12 -0500 |

I like the chapter in _Applied Linear Regression Models_ by Neter, Kutner, Nachtsheim, and Wasserman on understanding and calculating "extra sums of squares". This is the basis for a difference in r-squared test. I think looking at -help nestreg- will be useful. Best, Alan 2008/11/12 SM <sermorr@gmail.com>: > 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 = α0 + α1 BV + α2NI + ε > 2) Y = ß0 + ß1 BV + ß2 NI + ß3 TANG + ε > > 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+ ε > > 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): > > Δ R2/ Δdf = F (Δ 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 > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Reference for test of incremental R-square***From:*SM <sermorr@gmail.com>

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