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Re: st: Comparison of the R-squared in a loglog and linear model


From   Richard Goldstein <richgold@ix.netcom.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Comparison of the R-squared in a loglog and linear model
Date   Thu, 17 Jun 2010 06:10:22 -0400

there have been attempts in Stata; in my opinion the best of these is
-brsq- from an old STB (type -findit brsq-); of course, as one of the
authors, I'm undoubtedly somewhat biased; look carefully at the STB
article to ensure it does what you want and to see some references to
other attempts

Rich

On 6/17/10 6:01 AM, Natalie Trapp wrote:
> Thank you Maarten.
> 
> That's right, an R-square comparison is meaningful only if the dependent
> variable is the same for both models.
> 
> Can I not maybe obtain the antilog predicted values for the log log
> model and compute the R-squared between the antilog of the observed and
> predicted values. And then compare this R-square with the R-square
> obtained from OLS estimation of the linear model?
> 
> There are other statistical programs that can do this automatically, but
> as I work with Stata, I'd rather do it with this program.
> 
> On 6/17/2010 11:49 AM, Maarten buis wrote:
>> --- On Thu, 17/6/10, Natalie Trapp wrote:
>>   
>>> I would like to compare the R-squared of a log log model
>>> and a linear model to find out which has the better fit. Is
>>> there a tool in Stata with which I can compare the R-square
>>> of the log log model with the R-square obtained from OLS
>>> estimation of the linear model?
>>>      
>> Comparing R-squares only makes sense when you don't change
>> the dependent variable: the proportion of variance explained
>> depends both the how much you explain and on how much variance
>> you had to begin with. A non-linear transformation like taking
>> the logarithm will influence the variance of your dependent
>> variable, making the R-squares of the linear model and the
>> log-log model incomparable.
>>
>> Hope this helps,
>> Maarten
>>
>> --------------------------
>> Maarten L. Buis
>> Institut fuer Soziologie
>> Universitaet Tuebingen
>> Wilhelmstrasse 36
>> 72074 Tuebingen
>> Germany
>>
>> http://www.maartenbuis.nl
>> --------------------------
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