--- [email protected] wrote:
> 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
Why not do something like this:
*------ begin example --------
sysuse auto, clear
xi: reg pri I.foreign*mpg
testparm _I*
*-------- end example --------
Here you have two samples (foreign and domestic cars), and the output from
-testparm- gives you a test that the constants and the effect of weight are
the same. Alternatively you could interpret the test as a test of the
hypothesis that the R2 of the constrained model is the same as the R2 of the
unconstrained model. This is not a test of the hypothesis that the R2 in the
two samples are the same, as this hypothesis is non-sensical: any difference
in R2 could be due to a difference between samples in the amount of variance
that is to be explained (TSS) and/or a difference in the amount of variance
that can be explained (MSS).
Hope this helps,
Maarten
-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands
visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434
+31 20 5986715
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
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