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From |
"JVerkuilen (Gmail)" <jvverkuilen@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Change in explained variance |

Date |
Tue, 18 Sep 2012 00:02:15 -0400 |

On Mon, Sep 17, 2012 at 10:51 PM, Thomas Didier <thomas.didier@mail.mcgill.ca> wrote: > > I am running a multinomial logit model and would like to determine whether the inclusion of an explanatory variable in the model increases the percentage of explained variance in a statistically significant manner. I am concerned that when running the model with and without the variable of interest, its impact is diluted by a substitution effect. > > Would an F-test (Fisher) be appropriate for such measurement and can it be run on Stata? > As Rich Williams indicated, -estimates store- and -lrtest- gives you the likelihood ratio chi square test, which is the analog of the F test in this case. -estat ic- will give you the AIC and BIC for the model if you want to go that route. The multinomial logit model is kind of tricky though, given that if you have K options, you have K-1 equations for the variable. So testing for its exclusion is really a K-1 df test and not quite the same as what most people think of in the context of a regression test. If you're worried about violations of IIA (not quite sure what you mean by substitution effect) you should probably check that as if IIA is violated substantially you probably need a different model. The manual entry for -suest- gives a very nice walkthrough of how to do that. -- JVVerkuilen, PhD jvverkuilen@gmail.com "Out beyond ideas of wrong-doing and right-doing there is a field. I'll meet you there. When the soul lies down in that grass the world is too full to talk about." ---Rumi * * 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**:**st: Change in explained variance***From:*Thomas Didier <thomas.didier@mail.mcgill.ca>

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