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From |
Christopher Baum <kit.baum@bc.edu> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: Statistically significant difference in R Squared |

Date |
Fri, 24 Aug 2012 12:15:07 +0000 |

<> On Aug 24, 2012, at 2:33 AM, Ani 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? I don't think this is a very well posed question. In the example below, -robvar- applied to the residuals of a single model shows that the forecast performance of the model deteriorates after 1987q3. Running separate subperiod regressions confirms this: the model produces more accurate forecasts in the earlier period. Yet the R^2 is higher in the later subperiod! I would be more interested in the model's accuracy, in terms of forecast confidence intervals, than I would in R^2. use http://fmwww.bc.edu/cfb/data/usmacro1,clear reg d.cpi d.oilprice d.wage, robust predict double res if e(sample) g break = (tin(1987q3,)) robvar res, by(break) reg d.cpi d.oilprice d.wage if !break, robust reg d.cpi d.oilprice d.wage if break, robust Kit Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * 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/

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