Re: st: Statistically significant difference in R Squared

[Aniruddha Rajan <aniruddha.rajan@googlemail.com>]

Thanks for your response Anees. In this case I don't think it is possible
to look at information criteria or other forms of model comparison as the
empirical representation of the underlying model does not change - it is
fixed by theory. Hence the change I am attempting to find a way to examine
is the model fit in this period versus last period.

Regards,
Ani 

On 23/08/2012 19:06, "Muhammad Anees" <anees@aneconomist.com> wrote:

>If you have to compare the two models, why not read on on the
>comparison of nested and non-nested models on the list (by searching
>the archives) and selecting the best or preferred model using the AIC,
>BIC or HQIC.
>
>Comparisons based on R-squared ( or adjusted R-squared) does not need
>be tested _Statistically. Simply you can chose a model with higher
>R-squared ( or adjusted R-squared). Otherwise Nick's suggestion is
>what seems to be the most appropriate one to me.
>
>Best
>Anees
>
>On Thu, Aug 23, 2012 at 11:07 PM, Aniruddha Rajan
><aniruddha.rajan@googlemail.com> wrote:
>> Thanks very much for your helpful response Nick. The gist of what I'm
>> trying to do is to see whether the data I have conforms to a specified
>> theoretical model to a greater extent during the second period as
>>compared
>> to the first. I guess the residual plot should be good enough. Do any
>> formal tests for something like this exist?
>>
>> On 23/08/2012 17:56, "Nick Cox" <njcoxstata@gmail.com> wrote:
>>
>>>I don't think the question makes much sense inferentially for several
>>>quite different reasons. But looking at the residuals as a function of
>>>time and seeing whether they vary systematically could be a very
>>>sensible and helpful check.
>>>
>>>Nick
>>>
>>>On Thu, Aug 23, 2012 at 5:09 PM, Aniruddha Rajan
>>><aniruddha.rajan@googlemail.com> wrote:
>>>
>>>> I am running a time-series regression model over a 10 year period. I
>>>>would
>>>> be interested in splitting the sample into two five year periods and
>>>>finding
>>>> out whether the model has a statistically significantly higher R^2
>>>>during
>>>> the second period as compared to the first. Is there a test for this,
>>>>and if
>>>> so is it possible to implement in Stata?
>>>*
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>>
>>
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>
>
>
>-- 
>
>Best
>---------------------------
>Muhammad Anees
>Assistant Professor/Programme Coordinator
>COMSATS Institute of Information Technology
>Attock 43600, Pakistan
>http://www.aneconomist.com
>*
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