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RE: st: obtaining R squared after xtabond
From
Nick Cox <[email protected]>
To
"'[email protected]'" <[email protected]>
Subject
RE: st: obtaining R squared after xtabond
Date
Wed, 2 Feb 2011 16:51:57 +0000
No doubt you can get R-squared to more decimal places, for what it's worth.
My main answer is the same: use -test- if possible.
Nick
[email protected]
Anastasiya Zavyalova
Hey Nick,
Thank you for the quick response.
I have calculated R sq for both of my models after the xtabond
estimation. They are both 0.99, but Model 2 has five more variables
than Model 1.
For Model 1: Wald chi2(21) = 3664.36 Prob > chi2
= 0.0000
For Model 2: Wald chi2(26) = 3867.88 Prob > chi2
= 0.0000
How can I find out from this information how much more variance is
explained by Model 2 than Model 1 and which model has the best fit? Is
there a way to compare whether the two Chi sqrd statistics are
significantly different?
On Feb 2, 2011, at 4:27 AM, Nick Cox wrote:
> It's best not to try assessing significance from R-squared. You should
> try to test the extra variables for significance directly. -test- I
> imagine to be the way to do it.
>
> Otherwise, the difference in R-squared is just that. Calculate both
> and subtract. I don't see what your difficulty is there. The recipe
> is not
>
> correlate and square predicted and actual dependent variable
>
> but
>
> correlate predicted and actual dependent variable, and square
>
> Nick
>
> On Wed, Feb 2, 2011 at 2:05 AM, Anastasiya Zavyalova
> <[email protected]> wrote:
>> Hey all,
>>
>> How can I obtain an R-squared statistic after I run xtabond? I did
>> the old
>> school: correlated and squared predicted and actual dependent
>> variable. The
>> only problem is that I have two models, where Model 2 contains all
>> the
>> variables form Model 1 plus a couple more. Reviewers need to know
>> how much
>> more variance Model 2 explains over Model 1. So: 1) how can I find
>> out how
>> much variance each model explains and 2) whether Model 2 explains
>> significantly more variance than Model 1?
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