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Re: st: Adjusted R-squared comparison

From   John Antonakis <>
Subject   Re: st: Adjusted R-squared comparison
Date   Wed, 06 Feb 2013 11:37:27 +0100

I think that the only think you can do is to bootstrap the r-squares and see if their confidence intervals overlap.

To bootstrap you just do:


sysuse auto
bootstrap e(r2), seed(123) reps(1000) : reg price mpg weight

You will be interested in either:

      e(r2_w)             R-squared within model
      e(r2_o)             R-squared overall model
      e(r2_b)             R-squared between model

See help xtreg with respect to saved results.

Let's see if others have other ideas.



John Antonakis
Professor of Organizational Behavior
Director, Ph.D. Program in Management

Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305

Associate Editor
The Leadership Quarterly

On 06.02.2013 10:22, Panagiotis Manganaris wrote:
Dear all,

I need to compare two adjusted r-squared of the same model for two different periods of time (each one spans for a period of years). So far, I have split my data in two groups, those that belong to the period 1998-2004 and those that belong to the period 2005-2011. Then I used xtreg on the same model for each group of data. I've derived their adjusted r-squared and I want to know if those two adjusted r-squared are significantly different from each other.

Thank you all in advance.

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