Re: st: Adjusted R-squared comparison

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

Can't agree more with you Nick.  We should care more about having 
consistent estimators than high r-squares (i.e., Panagiotis, what I mean 
here is that we can still estimate the slope consistently even if we 
don't have a tight fitting regression line).  So, I don't know why you 
are interested in this comparison, Panagiotis. I would think you would 
be more interested in comparing estimates, as in a Chow test (Chow, G. 
C. (1960). Tests of equality between sets of coefficients in two linear 
regressions. Econometrica, 28(3), 591-605). If you are using 
fixed-effects models, you can model the fixed-effects with dummies and 
then do a Chow test via suest....see -help suest-.

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 11:40, Nick Cox wrote:
> That's positive advice.
>
> My own other idea is that adjusted R-squares are a lousy basis to
> compare two models, even of the same kind. They leave out too much
> information.
>
> Nick
>
> On Wed, Feb 6, 2013 at 10:37 AM, John Antonakis <John.Antonakis@unil.ch> wrote:
> > 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.
> On 06.02.2013 10:22, Panagiotis Manganaris wrote:
>
> > > 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.
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/faqs/resources/statalist-faq/
> *   http://www.ats.ucla.edu/stat/stata/

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/