 |
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
Re: st: variance of R2
thank you Stas for your warning, I haven't seen your answer before
I need to compare the R2s from two different samples (as I wrote in my second
message to statalist), as it is usually done in the literature I am currently
studying, so I need to assess the statistical significance of the difference
between two R2s
Cheers
Maria
Citazione Stas Kolenikov <[email protected]>:
> On 8/8/07, [email protected] <[email protected]> wrote:
> > Dear all,
> > does anyone of you know how to compute the variance of the R2 (coefficient
> of
> > determination) in STATA?
>
> What would you need this for? Anything that deals with R^2 is ad hoc,
> and standards of "decent" R^2 vary by discipline from 99% in physics
> and engineering to 5% in economics.
>
> R^2 is a nonlinear transformation of F-statistic, and you can look up
> the variance of F (probably a non-central one) distribution in the
> standard textbooks. Then you can apply the delta method to get
> analytic asymptotic variance. The bootstrap is faster these days, of
> course, but it's always better to have answers from two completely
> different methods to see if they match. And if you thought the
> bootstrap is a universal remedy for every situation, you must read
> this: http://www.citeulike.org/user/ctacmo/article/575126 (and Stata
> Corp. might consider putting warnings arising from it in the biggest
> print possible in [R] bootstrap in the next printing :))
>
> --
> Stas Kolenikov, also found at http://stas.kolenikov.name
>
> Small print: Please do not reply to my Gmail address as I don't check
> it regularly.
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
-------------------------------------------------
This mail sent through IMP: http://horde.org/imp/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/