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


From   Natalie Trapp <natalie.trapp@zmaw.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Comparison of the R-squared in a loglog and linear model
Date   Thu, 17 Jun 2010 13:27:40 +0200

Thank you very much!

On 6/17/2010 12:10 PM, Richard Goldstein wrote:
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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