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

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: How to compare RMSE of two models |

Date |
Tue, 27 Nov 2012 09:14:13 -0500 |

On Tue, Nov 27, 2012 at 7:49 AM, rasool.bux <rasool.bux@aku.edu> wrote: > 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. > I assume you don't have nested models, because otherwise you would simply use -testparm- to consider whether the additional coefficients are jointly 0. Non-nested model tests are tricky. The Vuong test is one example. http://en.wikipedia.org/wiki/Vuong's_closeness_test However, if your y variables are the same (i.e., no missing data) you can probably get most of what you want using AIC or by comparing adjusted R-square changes between models. If you must have a p-value I suspect that the only reasonable way is to use bootstrapping: http://stata.com/statalist/archive/2010-03/msg01845.html * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**References**:**st: How to compare RMSE of two models***From:*"rasool.bux" <rasool.bux@aku.edu>

**Re: st: How to compare RMSE of two models***From:*Maarten Buis <maartenlbuis@gmail.com>

**RE: st: How to compare RMSE of two models***From:*"rasool.bux" <rasool.bux@aku.edu>

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