Test of difference in R-squared
Posted: Wed Apr 04, 2012 10:44 am
Hello guys,
I am estimating two regressions, for which independent and dependent variables are the same, except for the sample compositions and the time periods are different. Is there any way I could perform test of difference in adjusted R-squared for such regressions? Either manually or in Eviews? My understanding is that the F-test wouldn't work because I do not deal with "restricted versus unrestricted" regressions case. The seemingly unrelated regressions - I would also doubt that this is what I have here..... Any advice will be appreciated. Thank you.
I am estimating two regressions, for which independent and dependent variables are the same, except for the sample compositions and the time periods are different. Is there any way I could perform test of difference in adjusted R-squared for such regressions? Either manually or in Eviews? My understanding is that the F-test wouldn't work because I do not deal with "restricted versus unrestricted" regressions case. The seemingly unrelated regressions - I would also doubt that this is what I have here..... Any advice will be appreciated. Thank you.