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| From | Nick Cox <njcoxstata@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Statistically significant difference in R Squared |
| Date | Thu, 23 Aug 2012 17:56:03 +0100 |
I don't think the question makes much sense inferentially for several quite different reasons. But looking at the residuals as a function of time and seeing whether they vary systematically could be a very sensible and helpful check. Nick On Thu, Aug 23, 2012 at 5:09 PM, Aniruddha Rajan <aniruddha.rajan@googlemail.com> wrote: > I am running a time-series regression model over a 10 year period. I would > be interested in splitting the sample into two five year periods and finding > out whether the model has a statistically significantly higher R^2 during > the second period as compared to the first. Is there a test for this, and if > so is it possible to implement in Stata? * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/