Re: st: Statistically significant difference in R Squared

[Christopher Baum <kit.baum@bc.edu>]

<>
On Aug 24, 2012, at 2:33 AM, Ani 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?

I don't think this is a very well posed question. In the example below, -robvar- applied to the residuals of a single model
shows that the forecast performance of the model deteriorates after 1987q3. Running separate subperiod regressions confirms this:
the model produces more accurate forecasts in the earlier period. Yet the R^2 is higher in the later subperiod! I would be more 
interested in the model's accuracy, in terms of forecast confidence intervals, than I would in R^2.

use http://fmwww.bc.edu/cfb/data/usmacro1,clear
reg d.cpi d.oilprice d.wage, robust
predict double res if e(sample)
g break = (tin(1987q3,))
robvar res, by(break)
reg d.cpi d.oilprice d.wage if !break, robust
reg d.cpi d.oilprice d.wage if break, robust

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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