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RE: st: How to compare RMSE of two models


From   "rasool.bux" <rasool.bux@aku.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: How to compare RMSE of two models
Date   Tue, 27 Nov 2012 12:49:06 +0000

Dear Maarten,

Thanks for reply. May be I am not conveying my question clearly. I would like to compare the two models against the same yvariable, which model is performing better and how we could say that model 1 is better than model 2 i.e. in terms of p-values of RMSE.

Best regards
Rasool Bux

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Maarten Buis
Sent: Tuesday, November 27, 2012 2:45 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: How to compare RMSE of two models

On Tue, Nov 27, 2012 at 10:32 AM, rasool.bux wrote:
> How to statistical compare RMSE of two equations/models in Stata? Kindly let me know which test used for it and how to report it. Same for IQR (95%CIs) reporting as single value i.e. p75 - p25.
>
> bootstrap "regress yvar xvar1" _b rmse1=e(rmse), reps(1000)
> saving(rmse1) bootstrap "regress yvar xvar2" _b rmse2=e(rmse),
> reps(1000) saving(rmse2)

The first thing to consider when you want to perform a statistical test is to think about the null hypothesis. In this case I don't think what you want to do involves a meaningful null hypothesis. In that case you just don't want to perform that test.

> bootstrap iqr_v1=(r(p75)-r(p25)), rep(1000) seed(12345789) nodots
> saving(iqr_v1,replace): summarize v1, detail

Again consider the null hypothesis, and think whether you want to test that hypothesis. Again, I don't think you want to do that.

-- Maarten

---------------------------------
Maarten L. Buis
WZB
Reichpietschufer 50
10785 Berlin
Germany

http://www.maartenbuis.nl
---------------------------------
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