Re: st: Comparison of the R-squared in a loglog and linear model

[Natalie Trapp <natalie.trapp@zmaw.de>]

Thank you very much!

On 6/17/2010 12:10 PM, Richard Goldstein wrote:
> there have been attempts in Stata; in my opinion the best of these is
> -brsq- from an old STB (type -findit brsq-); of course, as one of the
> authors, I'm undoubtedly somewhat biased; look carefully at the STB
> article to ensure it does what you want and to see some references to
> other attempts
>
> Rich
>
> On 6/17/10 6:01 AM, Natalie Trapp wrote:
>    
> > Thank you Maarten.
> >
> > That's right, an R-square comparison is meaningful only if the dependent
> > variable is the same for both models.
> >
> > Can I not maybe obtain the antilog predicted values for the log log
> > model and compute the R-squared between the antilog of the observed and
> > predicted values. And then compare this R-square with the R-square
> > obtained from OLS estimation of the linear model?
> >
> > There are other statistical programs that can do this automatically, but
> > as I work with Stata, I'd rather do it with this program.
> >
> > On 6/17/2010 11:49 AM, Maarten buis wrote:
> >      
> > > --- On Thu, 17/6/10, Natalie Trapp wrote:
> > >
> > >        
> > > > I would like to compare the R-squared of a log log model
> > > > and a linear model to find out which has the better fit. Is
> > > > there a tool in Stata with which I can compare the R-square
> > > > of the log log model with the R-square obtained from OLS
> > > > estimation of the linear model?
> > > >
> > > >          
> > > Comparing R-squares only makes sense when you don't change
> > > the dependent variable: the proportion of variance explained
> > > depends both the how much you explain and on how much variance
> > > you had to begin with. A non-linear transformation like taking
> > > the logarithm will influence the variance of your dependent
> > > variable, making the R-squares of the linear model and the
> > > log-log model incomparable.
> > >
> > > Hope this helps,
> > > Maarten
> > >
> > > --------------------------
> > > Maarten L. Buis
> > > Institut fuer Soziologie
> > > Universitaet Tuebingen
> > > Wilhelmstrasse 36
> > > 72074 Tuebingen
> > > Germany
> > >
> > > http://www.maartenbuis.nl
> > > --------------------------
> > >        
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>    

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