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st: Testing to compare goodness of fit

Subject   st: Testing to compare goodness of fit
Date   Tue, 04 Oct 2011 22:35:22 +0200


I have two univariate time series models, both explaining variable Y, one with variable X and one with variable Z as the explanatory variable (plus a constant). Now, both models yield an R-squared that is rather close to each other. Can I really say that model X is better than model Z just by comparing these R-squareds (since with 5 observation more or less, things might look different)? Or can I test whether these r-squareds are statistically different from each other? Any other idea to evaluate goodness of fit in that case, except for comparing RMSE? Or is in this case comparing (f-testing) the coefficients of X and Z helpful?
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