Re: st: Testing of differences in R-square

[Padmakumar Sivadasan <pmathru2@illinois.edu>]

You can get an ado file for the Vuong's test from Judson Caskey's website

http://personal.anderson.ucla.edu/judson.caskey/data.html

Padmakumar

On Tue, Mar 30, 2010 at 5:23 PM, Steve Samuels <sjsamuels@gmail.com> wrote:
>
> "R-squares is equivalent to assessing a difference between the mean
> square errors."
>
> I should clarify: This statement is true because the R-squares are
> being computed on the same data and for the same response variable. To
> ensure this condition, restrict the sample to observations with
> non-missing values for all predictors in the two regressions.
>
> On Tue, Mar 30, 2010 at 10:24 AM, Steve Samuels <sjsamuels@gmail.com> wrote:
> > Vuong's test is likelihood based and corrects for the differing number
> > of parameters in two models. For your problem you can directly
> > compared adjusted R-squares, which also correct for the number of
> > parameters.. However assessing a difference between two adjusted
> > R-squares is equivalent to assessing a difference between the mean
> > square errors. So I suggest you bootstrap a difference in log mean
> > square errors. Because you want to bootstrap two regressions, you'll
> > need to write your own program. See:
> > http://www.ats.ucla.edu/stat/Stata/faq/ownboot.htm
> >
> > Steve
> >
>
> Steven Samuels
> sjsamuels@gmail.com
> 18 Cantine's Island
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