Dear Erasmo,
I don't whether you have some specific reasons to
compare R2's for your
models. I was always taught to be careful with R2.
So my personal preference would be to use the
likelihood ratio test as you
can use the asymptotic properties of your data. It is
also a simple and
convenient for comparing nested models.
I hope that I am not confusing you with my advice, as
I am only learning
and can be wrong. I hope the experts will comment on
it.
Kind regards,
Olga
On Mon, 13 Aug 2007 13:58:33 +0200, Erasmo Giambona
<[email protected]>
wrote:
> Dear statalisters,
>
> I am estimating two modes using the same sample
(about 10,000
> observations):
>
> A: Yi= a1+ a2 Xi2+a2 Xi3 + a3 Xi4 + ei - the
estimates on X2 and X3
> are restricted to be the same (RESTRICTED MODEL)
>
> B: Yi= a1+ a2 Xi2+a3 Xi3 + a4 Xi4 + ei - the
coefficients on X2 and X3
> are NOT restricted to be the same (UNRESTRICTED
MODEL).
>
> I understand from Jan Kmenta, Elements of
Econometrics, Macmillan
> (1971), pp: 448-449 that the R2 for the unrestricted
model will always
> be higher. What I don't understand is whether the R2
can be
> significantly higher if the unrestricted
coefficients are
> significantly different from the restricted
coefficients. Indeed, my
> unrestricted coefficients are significantly
different from the
> restricted coefficients and yet the R2's are almost
identical. I find
> this result puzzling.
>
> Any help is appreciated.
>
> Erasmo
> *
> * 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/
>
____________________________________________________________________________________
Yahoo! oneSearch: Finally, mobile search
that gives answers, not web links.
http://mobile.yahoo.com/mobileweb/onesearch?refer=1ONXIC
*
* 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/
