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From |
Panagiotis Manganaris <mangan@econ.auth.gr> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Adjusted R-squared comparison |

Date |
Wed, 06 Feb 2013 13:57:43 +0200 |

2013/2/6 John Antonakis <John.Antonakis@unil.ch>

Best, J. __________________________________________ 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 Switzerland Tel ++41 (0)21 692-3438 Fax ++41 (0)21 692-3305 http://www.hec.unil.ch/people/jantonakis Associate Editor The Leadership Quarterly __________________________________________ On 06.02.2013 11:40, Nick Cox wrote: That's positive advice. My own other idea is that adjusted R-squares are a lousy basis to compare two models, even of the same kind. They leave out too much information. Nick

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: E.g., 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. On 06.02.2013 10:22, Panagiotis Manganaris wrote: 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. * * 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/ * * 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/ * * 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/

**Follow-Ups**:**Re: st: Adjusted R-squared comparison***From:*John Antonakis <John.Antonakis@unil.ch>

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