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From |
"Jay Tuthill" <jtuthill@bfcwo.com> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: Comparison of the R-squared in a loglog and linear model |

Date |
Mon, 21 Jun 2010 11:55:50 -0400 |

It has been awhile since I looked at this but recall a technique from grad school using the geometric mean. For your dependent variable y, create a log variable gen lny = log(y) get the average of this su lny create a transform for y gen ty = y/exp(r(mean)) where r(mean) is the mean of the log y's and exp converts it to the geometric mean create the log of the ty gen ln_ty = log(ty) now regress ty and ln_ty separately and compare the standard errors of the regressions; they are directly comparable on the transformed dependent variable For references on this see S. Wiesberg Applied Linear Regression, 2nd ed, 1985, sec 6.4 especially p. 148 and for a more advanced explanation...Cook and Weisberg, Residuals and Influence in Regression, 1982, sec 2.4 Regards...Jay Tuthill -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Natalie Trapp Sent: Thursday, June 17, 2010 7:28 AM To: statalist@hsphsun2.harvard.edu Subject: Re: st: Comparison of the R-squared in a loglog and linear model 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 >>> -------------------------- >>> > * > * 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/ * * 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: Comparison of the R-squared in a loglog and linear model***From:*Maarten buis <maartenbuis@yahoo.co.uk>

**References**:**Re: st: Comparison of the R-squared in a loglog and linear model***From:*Maarten buis <maartenbuis@yahoo.co.uk>

**Re: st: Comparison of the R-squared in a loglog and linear model***From:*Natalie Trapp <natalie.trapp@zmaw.de>

**Re: st: Comparison of the R-squared in a loglog and linear model***From:*Richard Goldstein <richgold@ix.netcom.com>

**Re: st: Comparison of the R-squared in a loglog and linear model***From:*Natalie Trapp <natalie.trapp@zmaw.de>

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