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st: Query about bootstrapping and R-squared


From   Nick Riches <nick.riches@newcastle.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Query about bootstrapping and R-squared
Date   Wed, 7 Dec 2011 09:35:14 +0000

Hi

This may be more of a general stats query than a Stata query, but any pointers would be most appreciated.

I'm running a commonality analysis (identifying unique and shared contributions to R-squared). The reviewers have commented on the lack of power / overfitting (2 predictors, 23 observations), so I thought I'd run a bootstrapped version to compensate for overfitting. The trouble is, the R-squared from the bootstrapped regression is identical to the R-squared in the non-bootstrapped regression. In addition the value of R-squared is completely unaffected by the number of reps.

I can't see why this is the case. Surely each time the program randomly resamples, a different regression line is drawn, parameters and residuals will vary and therefore R-squared will vary?

Thanks

Nick Riches

P.S. Syntax = bootstrap, reps(100): regress x y z



Dr Nick Riches
Lecturer in Speech and Language Pathology
Education Communication and Language Sciences (ECLS)
King George VI building
Queen Victoria Road
Newcastle University
NE1 7RU

Tel - 0191 222 6518 

(International +44 191 222 6518)



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