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From |
Padmakumar Sivadasan <pmathru2@illinois.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Testing of differences in R-square |

Date |
Wed, 31 Mar 2010 07:16:58 -0500 |

You can get an ado file for the Vuong's test from Judson Caskey's website http://personal.anderson.ucla.edu/judson.caskey/data.html Padmakumar On Tue, Mar 30, 2010 at 5:23 PM, Steve Samuels <sjsamuels@gmail.com> wrote: > > "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/ * * 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:*<Tonny.Stenheim@hibu.no>

**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>

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

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