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From |
Richard Williams <richardwilliams.ndu@gmail.com> |

To |
statalist@hsphsun2.harvard.edu, "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: Statistically significant difference in R Squared |

Date |
Fri, 24 Aug 2012 10:16:45 -0400 |

At 08:15 AM 8/24/2012, Christopher Baum wrote:

<> 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 periodsand 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 forthis, and if> so is it possible to implement in Stata?I don't think this is a very well posed question. In the examplebelow, -robvar- applied to the residuals of a single modelshows that the forecast performance of the model deteriorates after1987q3. 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 moreinterested in the model's accuracy, in terms of forecast confidenceintervals, 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

http://www.nd.edu/~rwilliam/xsoc63993/l72.pdf ------------------------------------------- Richard Williams, Notre Dame Dept of Sociology OFFICE: (574)631-6668, (574)631-6463 HOME: (574)289-5227 EMAIL: Richard.A.Williams.5@ND.Edu WWW: http://www.nd.edu/~rwilliam * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**Re: st: Statistically significant difference in R Squared***From:*Christopher Baum <kit.baum@bc.edu>

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