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st: Statistically significant difference in R Squared
Thu, 23 Aug 2012 17:09:07 +0100
I am running a time-series regression model over a 10 year period. I would be interested in splitting the sample into two five year periods and finding out whether the model has a statistically significantly higher R^2 during the second period as compared to the first. Is there a test for this, and if so is it possible to implement in Stata?