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RE: st: variance of R2
Thanks Maarten, I received your email afterwards...
cheers
Maria
Citazione Maarten Buis <[email protected]>:
> --- [email protected] wrote:
> > I need to compare the R2s from two different samples (as I wrote in my
> second
> > message to statalist), as it is usually done in the literature I am
> currently
> > studying, so I need to assess the statistical significance of the
> difference
> > between two R2s
>
> Why not do something like this:
>
> *------ begin example --------
> sysuse auto, clear
> xi: reg pri I.foreign*mpg
> testparm _I*
> *-------- end example --------
>
> Here you have two samples (foreign and domestic cars), and the output from
> -testparm- gives you a test that the constants and the effect of weight are
> the same. Alternatively you could interpret the test as a test of the
> hypothesis that the R2 of the constrained model is the same as the R2 of
> the
> unconstrained model. This is not a test of the hypothesis that the R2 in
> the
> two samples are the same, as this hypothesis is non-sensical: any
> difference
> in R2 could be due to a difference between samples in the amount of variance
>
> that is to be explained (TSS) and/or a difference in the amount of variance
>
> that can be explained (MSS).
>
> Hope this helps,
> Maarten
>
> -----------------------------------------
> Maarten L. Buis
> Department of Social Research Methodology
> Vrije Universiteit Amsterdam
> Boelelaan 1081
> 1081 HV Amsterdam
> The Netherlands
>
> visiting address:
> Buitenveldertselaan 3 (Metropolitan), room Z434
>
> +31 20 5986715
>
> http://home.fsw.vu.nl/m.buis/
> -----------------------------------------
>
>
>
>
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