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Re: st: Statistically significant difference in R Squared
From
Aniruddha Rajan <[email protected]>
To
<[email protected]>
Subject
Re: st: Statistically significant difference in R Squared
Date
Thu, 23 Aug 2012 19:24:37 +0100
Thanks for your response Anees. In this case I don't think it is possible
to look at information criteria or other forms of model comparison as the
empirical representation of the underlying model does not change - it is
fixed by theory. Hence the change I am attempting to find a way to examine
is the model fit in this period versus last period.
Regards,
Ani
On 23/08/2012 19:06, "Muhammad Anees" <[email protected]> wrote:
>If you have to compare the two models, why not read on on the
>comparison of nested and non-nested models on the list (by searching
>the archives) and selecting the best or preferred model using the AIC,
>BIC or HQIC.
>
>Comparisons based on R-squared ( or adjusted R-squared) does not need
>be tested _Statistically. Simply you can chose a model with higher
>R-squared ( or adjusted R-squared). Otherwise Nick's suggestion is
>what seems to be the most appropriate one to me.
>
>Best
>Anees
>
>On Thu, Aug 23, 2012 at 11:07 PM, Aniruddha Rajan
><[email protected]> wrote:
>> Thanks very much for your helpful response Nick. The gist of what I'm
>> trying to do is to see whether the data I have conforms to a specified
>> theoretical model to a greater extent during the second period as
>>compared
>> to the first. I guess the residual plot should be good enough. Do any
>> formal tests for something like this exist?
>>
>> On 23/08/2012 17:56, "Nick Cox" <[email protected]> wrote:
>>
>>>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
>>><[email protected]> 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/
>>
>>
>> *
>> * 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/
>
>
>
>--
>
>Best
>---------------------------
>Muhammad Anees
>Assistant Professor/Programme Coordinator
>COMSATS Institute of Information Technology
>Attock 43600, Pakistan
>http://www.aneconomist.com
>*
>* 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/
*
* For searches and help try:
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* http://www.stata.com/support/statalist/faq
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