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Re: st: Statistically significant difference in R Squared


From   Aniruddha Rajan <aniruddha.rajan@googlemail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Statistically significant difference in R Squared
Date   Thu, 23 Aug 2012 19:07:41 +0100

Thanks very much for your helpful response Nick. The gist of what I'm
trying to do is to see whether the data I have conforms to a specified
theoretical model to a greater extent during the second period as compared
to the first. I guess the residual plot should be good enough. Do any
formal tests for something like this exist?

On 23/08/2012 17:56, "Nick Cox" <njcoxstata@gmail.com> wrote:

>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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