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Re: st: Statistically significant difference in R Squared


From   Muhammad Anees <anees@aneconomist.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Statistically significant difference in R Squared
Date   Thu, 23 Aug 2012 23:06:38 +0500

If you have to compare the two models, why not read on on the
comparison of nested and non-nested models on the list (by searching
the archives) and selecting the best or preferred model using the AIC,
BIC or HQIC.

Comparisons based on R-squared ( or adjusted R-squared) does not need
be tested _Statistically. Simply you can chose a model with higher
R-squared ( or adjusted R-squared). Otherwise Nick's suggestion is
what seems to be the most appropriate one to me.

Best
Anees

On Thu, Aug 23, 2012 at 11:07 PM, Aniruddha Rajan
<aniruddha.rajan@googlemail.com> wrote:
> 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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-- 

Best
---------------------------
Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
http://www.aneconomist.com
*
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