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Re: st: Statistically Significant Increase in R-Squared
At 07:38 PM 1/23/2009, Roger Roles wrote:
Is there a way in Stata to determine whether or not the change in
R-squared is statistically significant? In other words, if I enter
the second block of variables into my model, and there is an
increase in R-squared, how can I determine if that change (from
block 1 to block 2) is statistically significant? Thank you!
You can use either the -nestreg- or test commands. e.g. if block1
has x1, x2, and x3, and block2 has x4, x5 and x6, either of the
following would work:
reg y x1 x2 x3 x4 x5 x6
test x4 x5 x6
or else
nestreg: reg y (x1 x2 x3) (x4 x5 x6)
To actually try it,
sysuse auto
reg price mpg rep78 headroom trunk weight length
test trunk weight length
nestreg: reg price ( mpg rep78 headroom) ( trunk weight length)
This and other basic Stata regression stuff is discussed in
http://www.nd.edu/~rwilliam/stats1/OLS-Stata9.pdf
-------------------------------------------
Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME: (574)289-5227
EMAIL: [email protected]
WWW: http://www.nd.edu/~rwilliam
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