Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down on April 23, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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 * * 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/

**Follow-Ups**:**RE: st: Testing of differences in R-square***From:*"Lachenbruch, Peter" <Peter.Lachenbruch@oregonstate.edu>

**Re: st: Testing of differences in R-square***From:*Padmakumar Sivadasan <pmathru2@illinois.edu>

**References**:**st: Testing of differences in R-square***From:*<Tonny.Stenheim@hibu.no>

**Re: st: Testing of differences in R-square***From:*Steve Samuels <sjsamuels@gmail.com>

- Prev by Date:
**st: Looping 2x over same list** - Next by Date:
**st: warning after areg** - Previous by thread:
**Re: st: Testing of differences in R-square** - Next by thread:
**Re: st: Testing of differences in R-square** - Index(es):