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st: How much of variation in dep var is explained by various sets of variables?


From   kokootchke <kokootchke@hotmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: How much of variation in dep var is explained by various sets of variables?
Date   Sat, 3 Apr 2010 20:35:03 -0400

Dear all, 

I would like to know if it's possible to determine how much of the variation in the dependent variable is explained by different sets of variables. For instance, suppose I have:

(1) y = a*x1 + b*x2 + c*x3 + d*z1 + d*z2 + d*z3 + d*z4
(2) y = e*x1 + f*x2 + g*x3
(3) y = h*z1 + i*z2 + j*z3 + k*z4

If I run these regressions by OLS, I obtain, say, R-sq = 0.30, 0.20, 0.15, respectively. Is it possible to determine what percentage of the variation in y in (1) is explained by the x's and what percentage is explained by the z's?

I read some of the threads on this issue and I found some notes on partial correlation and the -pcorr- command. I read Richard Williams's notes and it seems like you can determine the proportion of the variation in y focusing on one variable at a time... but I don't know if it's possible to do it by sets of variables.

Thank you very much for your help.

Best,
Adrian

 		 	   		  
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