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Re: st: Statistically significant difference in R Squared


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Statistically significant difference in R Squared
Date   Thu, 23 Aug 2012 17:56:03 +0100

I don't think the question makes much sense inferentially for several
quite different reasons. But looking at the residuals as a function of
time and seeing whether they vary systematically could be a very
sensible and helpful check.

Nick

On Thu, Aug 23, 2012 at 5:09 PM, Aniruddha Rajan
<aniruddha.rajan@googlemail.com> wrote:

> 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?
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