--- "Herrnstadt, Evan" <[email protected]> wrote:
> I have run two regressions, identical except for the main independent
> variable. I need to figure out if the R-square is significantly
> larger in the first compared to the second. Is there a simple test
> statistic?
<snip>
> reg pct_error gdp_real_error lagdum*, cluster(trend)
<snip>
> reg pct_error cbo_real_error lagdum*, cluster(trend)
The problem is that these two models are not nested, so there is not
test I know of (but I don't know everything) that can help you here.
What you can look at here are Information Criteria (BIC or AIC) that
you can recover using -est stats-.
The real question is, do you really want to use a test here? Do you
have a hypothesis you substantively care about? Often when people
formulate there test in terms of R2 they are in a fase prior to
testing: selecting the model. If that is your situation, use the
formidable aresenal of model diagnostic tools discussed in
-help regress postestimation- to get a feel for which variable performs
better.
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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