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Re: st: Statistically Significant Increase in R-Squared


From   John Antonakis <[email protected]>
To   [email protected]
Subject   Re: st: Statistically Significant Increase in R-Squared
Date   Sat, 24 Jan 2009 11:18:23 +0100

Findit -ftest- can also be useful if you want to store and compare different models.

Best,
John.

____________________________________________________

Prof. John Antonakis
Associate Dean
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
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On 24.01.2009 01:54, Richard Williams wrote:
At 07:38 PM 1/23/2009, Roger Roles wrote:
Is there a way in Stata to determine whether or not the change in R-squared is statistically significant? In other words, if I enter the second block of variables into my model, and there is an increase in R-squared, how can I determine if that change (from block 1 to block 2) is statistically significant? Thank you!

You can use either the -nestreg- or test commands. e.g. if block1 has x1, x2, and x3, and block2 has x4, x5 and x6, either of the following would work:

reg y x1 x2 x3 x4 x5 x6
test x4 x5 x6

or else

nestreg: reg y (x1 x2 x3) (x4 x5 x6)

To actually try it,

sysuse auto
reg  price mpg rep78 headroom trunk weight length
test  trunk weight length
nestreg: reg   price ( mpg rep78 headroom) ( trunk weight length)

This and other basic Stata regression stuff is discussed in

http://www.nd.edu/~rwilliam/stats1/OLS-Stata9.pdf


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Richard Williams, Notre Dame Dept of Sociology
OFFICE: (574)631-6668, (574)631-6463
HOME:   (574)289-5227
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