Re: st: Adjusted R-squared comparison

[John Antonakis <John.Antonakis@unil.ch>]

I think that the only think you can do is to bootstrap the r-squares and 
see if their confidence intervals overlap.

To bootstrap you just do:

E.g.,

sysuse auto
bootstrap e(r2), seed(123) reps(1000) : reg price mpg weight

You will be interested in either:

      e(r2_w)             R-squared within model
      e(r2_o)             R-squared overall model
      e(r2_b)             R-squared between model

See help xtreg with respect to saved results.

Let's see if others have other ideas.

Best,
J.

__________________________________________

John Antonakis
Professor of Organizational Behavior
Director, Ph.D. Program in Management

Faculty of Business and Economics
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis

Associate Editor
The Leadership Quarterly
__________________________________________

On 06.02.2013 10:22, Panagiotis Manganaris wrote:
> Dear all,
>
> I need to compare two adjusted r-squared of the same model for two 
> different periods of time (each one spans for a period of years). So 
> far, I have split my data in two groups, those that belong to the 
> period 1998-2004 and those that belong to the period 2005-2011. Then I 
> used xtreg on the same model for each group of data. I've derived 
> their adjusted r-squared and I want to know if those two adjusted 
> r-squared are significantly different from each other.
>
> Thank you all in advance.
>
>
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