Dear Sir,
I am examining the difference of R2 from a restricted model (coeff=0) vs an unrestricted model.
For example:
Unrestricted: y = c + b1*X1 + b2*X2 + e
Restricted: b2=0
My question:
(1) What is the proper code I could apply to execute the restricted regression and find its R2?
(2) Is the R2 obtained in (1) the same as the R2 if I simply run a regression without b2: y = c + b1*X1 + e ?
i.e., if I do the following commands:
eq_ur.ls y c x1 x2
eq_r.ls y c x1
scalar r2diff=eq_ur@r2  eq_r@r2
Such r2diff is the same if I do "restricted regression vs unrestricted regression"?
thank you so much.
restricted regression vs unrestricted regression
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 Nonnormality and collinearity are NOT problems!
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Re: restricted regression vs unrestricted regression
You have it corrrect.

 Posts: 4
 Joined: Wed Mar 23, 2016 8:26 am
Re: restricted regression vs unrestricted regression
Hi startz,
Thank you. But regarding my first question:
(1) What is the proper code I could apply to execute the restricted regression and find its R2?
(under cases where it is not zerocoeff)
Thank you.
Thank you. But regarding my first question:
(1) What is the proper code I could apply to execute the restricted regression and find its R2?
(under cases where it is not zerocoeff)
Thank you.
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