Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Statistically significant difference in R Squared


From   Richard Williams <richardwilliams.ndu@gmail.com>
To   statalist@hsphsun2.harvard.edu, "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Statistically significant difference in R Squared
Date   Fri, 24 Aug 2012 10:16:45 -0400

At 08:15 AM 8/24/2012, Christopher Baum wrote:
<>
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

I would add that R^2 can be affected by many things. A larger R^2 could be due to a bigger structural coefficient in one group, but it could also be due to things like differences in the exogenous variances. A simple discussion of this can be found at

http://www.nd.edu/~rwilliam/xsoc63993/l72.pdf


-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME:   (574)289-5227
EMAIL:  Richard.A.Williams.5@ND.Edu
WWW:    http://www.nd.edu/~rwilliam

*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index