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Re: st: Testing of differences in R-square


From   Steve Samuels <sjsamuels@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Testing of differences in R-square
Date   Tue, 30 Mar 2010 18:23:35 -0400

"R-squares is equivalent to assessing a difference between the mean
square errors."

I should clarify: This statement is true because the R-squares are
being computed on the same data and for the same response variable. To
ensure this condition, restrict the sample to observations with
non-missing values for all predictors in the two regressions.

On Tue, Mar 30, 2010 at 10:24 AM, Steve Samuels <sjsamuels@gmail.com> wrote:
> Vuong's test is likelihood based and corrects for the differing number
> of parameters in two models. For your problem you can directly
> compared adjusted R-squares, which also correct for the number of
> parameters.. However assessing a difference between two adjusted
> R-squares is equivalent to assessing a difference between the mean
> square errors. So I suggest you bootstrap a difference in log mean
> square errors. Because you want to bootstrap two regressions, you'll
> need to write your own program. See:
> http://www.ats.ucla.edu/stat/Stata/faq/ownboot.htm
>
> Steve
>

Steven Samuels
sjsamuels@gmail.com
18 Cantine's Island
Saugerties NY 12477
USA
Voice: 845-246-0774
Fax: 206-202-4783
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