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 on April 23, and its replacement, is already up and running.

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

Re: st: How to compare RMSE of two models

From   "JVerkuilen (Gmail)" <>
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 <> 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.'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:

*   For searches and help try:

© Copyright 1996–2016 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index