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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 20:22:51 +0100 |

Thanks Dave - I did think about the Chow test but like you say, that tests for breaks in the conditional mean, variance and/or persistence of a process. I don't think I'm particularly concerned about whether there's been a 'break' as such, merely about whether the model has a significantly higher level of explanatory power over the data during later years. Regards, Ani On 23/08/2012 19:36, "Jacobs, David" <jacobs.184@sociology.osu.edu> wrote: >Seems like you could use a version of the Chow test, which in time-series >analyses is based on period interactions. > >For example, how about creating a dummy coded "1" for one period and "0" >for the other and then creating interactions with your explanatory >variables and this dummy? Perhaps, I'm wrong about the relevance of this >test to the question, but if these period interactions are statistically >significant you then would have grounds for concluding that the >relationships at issue differ by period. > >Anyway if you can succeed in explaining coups with economic variables, >that would be interesting. > >Dave Jacobs > >-----Original Message----- >From: owner-statalist@hsphsun2.harvard.edu >[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Aniruddha Rajan >Sent: Thursday, August 23, 2012 2:18 PM >To: statalist@hsphsun2.harvard.edu >Subject: Re: st: Statistically significant difference in R Squared > >Thanks for your response Anees. In this case I don't think it is possible >to look at information criteria or other forms of model comparison as the >empirical representation of the underlying model does not change - it is >fixed by theory. Hence the change I am attempting to find a way to >examine is the model fit in this period versus last period. > >Regards, >Ani > >On 23/08/2012 19:06, "Muhammad Anees" <anees@aneconomist.com> wrote: > >>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? >>>>* >>>>* For searches and help try: >>>>* http://www.stata.com/help.cgi?search >>>>* http://www.stata.com/support/statalist/faq >>>>* http://www.ats.ucla.edu/stat/stata/ >>> >>> >>> * >>> * For searches and help try: >>> * http://www.stata.com/help.cgi?search >>> * http://www.stata.com/support/statalist/faq >>> * http://www.ats.ucla.edu/stat/stata/ >> >> >> >>-- >> >>Best >>--------------------------- >>Muhammad Anees >>Assistant Professor/Programme Coordinator COMSATS Institute of >>Information Technology Attock 43600, Pakistan >>http://www.aneconomist.com >>* >>* For searches and help try: >>* http://www.stata.com/help.cgi?search >>* http://www.stata.com/support/statalist/faq >>* http://www.ats.ucla.edu/stat/stata/ > > >* >* For searches and help try: >* http://www.stata.com/help.cgi?search >* http://www.stata.com/support/statalist/faq >* http://www.ats.ucla.edu/stat/stata/ > >* >* For searches and help try: >* http://www.stata.com/help.cgi?search >* http://www.stata.com/support/statalist/faq >* http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**RE: st: Statistically significant difference in R Squared***From:*"Jacobs, David" <jacobs.184@sociology.osu.edu>

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