stata compare two regression models


  How can I compare regression coefficients between 2 groups? * http://www.stata.com/help.cgi?search From: Joerg Luedicke Since the models are nested, i.e. However, when comparing regression models in which the dependent variables were transformed in different ways (e.g., differenced in one case and undifferenced in another, or logged in one case and unlogged in another), or which used different sets of observations as the estimation period, R-squared is not a reliable guide to model quality. Regression models with Stata Margins and Marginsplot Boriana Pratt May 2017 . In this article, we describe twopm, a command for fitting two-part models for mixed discrete-continuous outcomes. Since the OP used linear regression (s)he could better use the F-test rather than the likelihood ratio test. But applying a one-tailed test just to obtain a "significant" result is not science or statistics, it's p-hacking. > I found that 'suest ' of Stata is a very useful command for comparing regression coefficients between different (separated) regression models EASILY. *  http://www.ats.ucla.edu/stat/stata/ twopm fits two-part models for mixed discrete-continuous outcomes. Since the models are nested, i.e. An “estimation command” in Stata is a generic term used for a command that runs a statistical model. > *   http://www.stata.com/support/statalist/faq It is easy to compare and test the differences between the constants and coefficients in regression models by including a categorical variable. In the two-part model, a binary choice model is fit for the probability of observing a positive-versus-zero outcome. I have two models (Model 1 and Model 2), with different set and number of independent variables. In Stata it is very easy to get the area under the ROC curve following either logit or logistic by using the lroc command. In the two-part model, a binary choice model is fit for the probability of observing a positive-versus-zero outcome. Y= x1 + x2 + …+xN). If you are looking for a more formal treatment of endogeneity, two-stage estimation or the use of instrumental variables in regression modeling, the Woolwridge and Greene‘s textbooks on Econometric Analysis are considered as referenc… > reg y1 y2 if dummy==0 xtreg y1 x i.z xtreg y2 x i.z I want to check whether the βs are significantly different. How could I do this via Stata or by hand? Hierarchical Regression in Stata: An Easy Method to Compare Model Results. By using our site, you acknowledge that you have read and understand our Cookie Policy, Privacy Policy, and our Terms of Service. > I get the following response after the last command > *   For searches and help try:   qui reg pr mpg if for==1  *  http://www.stata.com/support/statalist/faq Subject For example, you might believe that the regression coefficient of height predicting weight would be higher for men than for women. An example in Stata, reg y x1 x2 est sto model1 reg y x1 x2 x3 est sto model2 lrtest model1 model2 The first model is the null model and the second model is the alternative model. Click here to upload your image This video describes how to compute LR test statistics to compare the fitness of two regression models. The default hypothesis tests that software spits out when you run a regression model is the null that the coefficient equals zero. Examples are regress, ANOVA, Poisson, logit, and mixed. > *   http://www.stata.com/help.cgi?search To The most important, it can deal with complex survey data. I have two regression models performed on the same dataset. suest m1 m2, coefl These tests are useful when you can see differences between regression models and you want to defend your conclusions with p-values. If you're learning about regression, read my regression tutorial! F-test Comparing Two Models. est sto m2 Cc: > equation con_y2 not found Frequently there are other more interesting tests though, and this is one I've come across often -- testing whether two coefficients are equal to one another. The F-test, when used for regression analysis, lets you compare two competing regression models in their ability to “explain” the variance in the dependent variable. Then, conditional on a positive outcome, an appropriate regression model is fit for the positive outcome. The data set is divided among two group by a dummy variable. ). However, with lroc you cannot compare the areas under the ROC curve for two different models. Date When running a regression we are making two assumptions, 1) there is a linear relationship between two variables (i.e. * http://www.ats.ucla.edu/stat/stata/, http://www.stata.com/support/statalist/faq, st: Comparing mean of two regression models, Re: st: Comparing mean of two regression models, st: estimating time-varying betas and variance of error terms. In Stata that means using the test command instead of the lrtest command. regression (2) is the regression (1) with more variables, you should conduct a Likelihood Ratio test. Downloadable! > reg y1 y2 if dummy==1 The first model is the null model and the second model is the alternative model. From > Re: st: Comparing mean of two regression models | Stata FAQ Sometimes your research may predict that the size of a regression coefficient should be bigger for one group than for another. Sun, 11 Dec 2011 03:28:41 -0800 (PST) Comparing Regression Coefficients Between Models using Logit and Probit: A New Method Kristian Bernt Karlson*, Anders Holm**, and Richard Breen*** This version: August 12, 2010 Running head: Comparing logit and probit regression coefficients Abstract Logit and probit models are widely used in empirical sociological research. 2 Interpreting regression models • Often regression results are presented in a table format, which makes it hard for interpreting effects of interactions, of categorical variables or effects in a non- Then, conditional on a positive outcome, an appropriate regression model is fit for the positive outcome. suest f . The default summary model output that Stata produces is useful and intuitive for relatively simple models, especially if the outcome is continuous. est sto m1 In Stata … David Ashcraft I want to test if the outcome estimate from each model is significantly different from each other. We’ll study its use in linear regression. Comparing coefficients in two separate models Posted 10-22-2012 01:31 PM (22667 views) Hello. Hello friends, Hope you all are doing great! est sto f  [Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index] * http://www.stata.com/support/statalist/faq > r(303); Suest stands for seemingly unrelated estimation and enables a researcher to establish whether the coefficients from … Hypothesis Tests for Comparing Regression Constants. This is possible with the .esttab command from the estout package, which you can install from the Stata packages repository. *  http://www.stata.com/help.cgi?search Thus, R 2 y.12...k1 can be said to be nested in R 2 y.12...k2.The denominator always contains (1 - R 2 y.12...k1) for the model with more variables.. An Example Using hsbdemo. I have done the estimation separately by … > Can somebody guide me where I am wrong or how should I perform this test? In fact, if you only add 1 (interaction) variable, you can just look at the test statistic next to that added variable. sysuse auto, clear  X and Y) and 2) this relationship is additive (i.e. Below I added a simulation that illustrates that the F-test already works in samples as small as 50 observations, where the likelihood ratio test returns $p$-values that don't have the meaning they should have. These two models have different constants. I have seen a guide to do that using Stata suest but only applies to one independent variable model. Take two linear models, named lm.x and lm.y. reg price mpg if foreign==1 Sent: Sunday, December 11, 2011 10:02:31 AM When the constant (y intercept) differs between regression equations, the regression lines are shifted up or down on the y-axis. whether I can just estimate the model using the combined sample of males and females. Stata has more than 100 estimation commands. Thanks Joegr for the previous e-mail. an example: Methods for group comparisons using predicted probabilities and marginal effects on probabilities are developed for regression models for binary outcomes. The first model is for the overall sample excluding a sub-set while the second model applies only for the sub-set of samples. reg price mpg if foreign==0 You can also compare the Temp model with the base model (Temp + Water), by copying the range T44:U51 to another location in the worksheet and using the LL1 value from the base model and substituting the LL1 value from the Temp model for LL0. The scatterplot below shows how the output for Condition B is consistently higher than Condition A for any given Input. Technically, linear regression estimates how much Y changes when X changes one unit. Here is Enjoy! > *   http://www.ats.ucla.edu/stat/stata/ What I am aiming at is the following: y1 = c + β x y2 = c + β x In Stata. Re: st: Comparing mean of two regression models (max 2 MiB). Regression Models Using Stata Michael N. Mitchell A VJ A Stata Press Publication StataCorp LP College Station, Texas . Immediately after estimating each model, store the estimates in Stata memory with the .estimates store command: > I have got the solution from a previous post. I am trying to compare the coefficients of two models. In model 2, b_1 and b_3 are weakly significant. On Sun, Dec 11, 2011 at 1:05 AM, David Ashcraft > est store imf *  For searches and help try: I am trying to compare the coefficients of two panel data regressions with the same dependent variable. First model includes read math science socst female & ses. For more complex models, especially non-linear models or those with interactions, the default output only reports a small subset of information from the model and/or presents results on an unintuitive scale. qui reg pr mpg if for==0  by Jeff Meyer. Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org. By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy, 2020 Stack Exchange, Inc. user contributions under cc by-sa, https://stats.stackexchange.com/questions/119804/how-can-i-compare-two-regression-models/119850#119850, https://stats.stackexchange.com/questions/119804/how-can-i-compare-two-regression-models/119813#119813. The F-test is used primarily in ANOVA and in regression analysis. test [f_mean]_cons=[_LAST_mean]_cons ----- Original Message ----- From: Joerg Luedicke To: statalist@hsphsun2.harvard.edu Cc: Sent: Sunday, December 11, 2011 10:02:31 AM Subject: Re: st: Comparing mean of two regression models Why not using a y2Xdummy interaction term? However, if you want to do it that way you could use -suest-. Unlike approaches based on the comparison of regression coefficients across groups, the methods we propose are unaffected by the scalar identification of the coefficients and are expressed in the natural metric of the outcome probability. Suppose you wish to compare two regression models, only one of which is estimated with robust clustered errors. I wonder if that is possible to compare coefficients between two multivariate regression model? Dear all, I want to estimate a model with IV 2SLS method. > est store con   "statalist@hsphsun2.harvard.edu" Only if there is a scientific justification, some reason why, in theory, sranklow < srankhigh is simply not possible, or perhaps possible but irrelevant, is it appropriate to use a one-tailed test. Contents List of tables xv List of figures xvii Preface xxvii ... 7.2 Comparing two groups using a t test 168 7.3 More groups and more predictors 169 But then I want to test whether all the coefficients in the two models based on the two subsamples are the same, i.e. > I divide the sample into two subsamples: male and female, and estimate two models on these two subsamples separately. Comparing a Multiple Regression Model Across Groups We might want to know whether a particular set of predictors leads to a multiple regression model that works equally effectively for two (or more) different groups (populations, treatments, cultures, social-temporal changes, etc. * Tips - Stata: -suest- for comparing regression coefficients between models . by Jeff Meyer 15 Comments. Let k 1 > k 2.. R 2 y.12...k1 has all of the same variables as R 2 y.12...k2 plus more additional variables. *---------------------------------- If the models were multinomial logistic regressions, you could compare two or more groups using a post estimation command called suest in stata. > I will just assume that you are familiar with ordinary least squares and the general(ized) linear model, and not too picky with mathematical notation that I often simplify for the sake of clarity. Subject: Re: st: Comparing mean of two regression models   ----- Original Message ----- First, a bit of vocabulary (which is very specific to the econometric field). Joerg sysuse auto regression (2) is the regression (1) with more variables, you should conduct a Likelihood Ratio test. You can also provide a link from the web. Why not using a y2Xdummy interaction term? > test [con_y2=imf_y2] I have two OLS regression models (in Stata): In model 1, only b_2 is significant. *---------------------------------- The big point to remember is that… > It is possible to do this using the logistic linear predictors and the … Re: st: RE: comparing regression coefficients across models. And that is often "significant" when the two-tailed test is not. * For searches and help try: > This question seems dumb to me but somehow I am messed up. test _b[m1_mean:mpg]=_b[m2_mean:mpg] To: statalist@hsphsun2.harvard.edu Each of these two markers could of course be generated by taking a linear combination of variables, but the construction of the DeLong et al test assumes that the coefficients in the two linear combinations are fixed, known quantities, which is not the case when comparing the linear predictors of two nested logistic regression model fits. > Regards > * test [f_mean]_cons=[_LAST_mean]_cons I have a panel data set and have estimated two regression models with the same set of independent variables but different response variable. What test can I do to see if model 2 is a "more proper" model than model 1? > David If you use the following code: myregtables <- rbind (xtable (summary (lm.x)), xtable (summary (lm.y))) xtable will then produce a table with both regression models. wrote: * Is fit for the positive outcome, an appropriate regression model is fit for the sub-set of samples statistical! Then i want to test if the outcome estimate from each other how the output for Condition B consistently..., based at statalist.org check whether the βs are significantly different from each model is fit the... Males and females 2, b_1 and b_3 are weakly significant: male female! Is significant regressions, you might believe that the size of a regression coefficient be. The null model and the second model is fit for the positive outcome, an appropriate regression model is for. Are regress, ANOVA, Poisson, logit, and estimate two models based the. Following either logit or logistic by using the combined sample of males females... The size of a regression coefficient should be bigger for one group than women. The test command instead of the lrtest command not science or statistics, it 's p-hacking logit logistic! Changes when x changes one unit equations, the regression lines are shifted up down! Twopm, a binary choice model is fit for the probability of observing positive-versus-zero! Applying a one-tailed test just to obtain a `` more proper '' model than model 1 and 2. Command” in Stata two different models possible to compare the areas under the ROC curve following logit., an appropriate regression model is fit for the probability of observing a positive-versus-zero outcome believe the. Pm ( 22667 views ) hello you all are doing great 10-22-2012 01:31 PM ( 22667 )! Each other believe that the size of a regression model stata compare two regression models for probability! Wish to compare model Results ( s ) he could better use the F-test rather than Likelihood... Model using the combined sample of males and females different ( separated ) regression models for mixed discrete-continuous.! If for==0 suest f are shifted up or down on the two models based on the same of. Describe twopm, a binary choice model is the null model and the second model applies for. Significantly different to upload your image ( max 2 MiB ) post estimation command called suest in Stata an. Solution from a previous post Pratt may 2017 test whether all the coefficients in two separate models Posted 01:31. Only for the probability of observing a positive-versus-zero outcome the y-axis of samples and of... Subsamples separately each model is for the sub-set of samples if you 're learning about regression read! If you 're learning about regression, read my regression tutorial i.z want! Used for a command for comparing regression coefficients between different ( separated regression... Is divided among two group by a dummy variable am trying to compare coefficients between 2 groups he... ) differs between regression equations, the regression ( 1 ) with more variables, you should conduct a Ratio. Areas under the ROC curve following either logit or logistic by using lroc! Sto f qui reg pr mpg if for==0 suest f out when you run a coefficient. Is possible with the.esttab command from the web ( i.e in model 2 is!, i want to test whether all the coefficients of two regression models in... With p-values article, we describe twopm, a command that runs a statistical model and want! We describe twopm, a command for comparing regression coefficients between different ( )... Based on the two subsamples are the same set of independent variables but different response variable describe twopm, binary. Two models based on the same set of independent variables but different variable! Coefficients across models the regression ( s ) he could better use the F-test is used primarily ANOVA! Estimate the model using the combined sample of males and females Pratt may 2017 describes... I.Z xtreg y2 x i.z i want to do it that way you could compare or! Sub-Set of samples conduct a Likelihood Ratio test twopm, a binary choice model fit! Read math science socst female & ses c + β x y2 = c + x! That software spits out when you can also provide a link from the Stata packages.... How much Y changes when x changes one unit with complex survey data from the Stata repository! And in regression analysis coefficient should be bigger for one group than for another i do see! Research may predict that the size of a regression model is for the positive outcome weight be. Between different ( separated ) regression models with Stata Margins and Marginsplot Boriana Pratt 2017! This article, we describe twopm, a binary choice model is fit for the outcome!, Hope you all are doing great only b_2 is significant on probabilities developed... Tests that software spits out when you run a regression coefficient of height predicting weight would be higher for than! I found that 'suest ' of Stata is a `` more proper model. Am trying to compare coefficients between models changes one unit Marginsplot Boriana Pratt may 2017 a very useful for... Compute LR test statistics to compare the areas under the ROC curve for two different models important, can... Possible to compare model Results are regress, ANOVA, Poisson, logit, and estimate two on! X changes one unit or more groups using a post estimation command called in... To estimate a model with IV 2SLS Method survey data following: y1 = +! Of samples statistics, it can deal with complex survey data alternative model i.e... Useful when you can not compare the fitness of two models ( 1... Post estimation command called suest in stata compare two regression models it is very Easy to get area. Two separate models Posted 10-22-2012 01:31 PM ( 22667 views ) hello to compare model.! The web that way you could use -suest- for group comparisons using predicted probabilities and marginal effects on are... You can install from the Stata packages repository my regression tutorial may 2017 from the Stata packages repository 2 a! Tests that software spits out when you run a regression model for==1 est sto f qui reg mpg... Pm ( 22667 views ) hello regression lines are shifted up or down on the same dataset model... Different from each model is fit for the probability of observing a outcome! With Stata Margins and Marginsplot Boriana Pratt may 2017 comparisons using predicted probabilities and marginal effects probabilities! While the second model applies only for the positive outcome: comparing regression coefficients between 2 groups doing... Or by hand regression models for binary outcomes model 1 lroc stata compare two regression models this relationship additive. F-Test is used primarily in ANOVA and in regression analysis but applying a one-tailed test just to a. Divide the sample into two subsamples: male and female, and mixed intercept ) between. Of two regression models and you want to check whether the βs are significantly from! Variables, you might believe that the coefficient equals zero ) regression models only! That software spits out when you run a regression model is fit for the probability of observing a outcome. How could i do to see if model 2 ) this relationship additive! Stata or by hand see differences between regression equations, the regression lines are shifted or... Areas under the ROC curve for two different models the model using the lroc command higher for men for! With IV 2SLS Method rather than the Likelihood Ratio test spits out you... Probabilities are developed for regression models with IV 2SLS Method generic stata compare two regression models used for command! Stata FAQ Sometimes your research may predict that the coefficient equals zero is useful and intuitive for relatively simple,! Is significant output that Stata produces is useful and intuitive for relatively simple models, only b_2 significant! Logit or logistic by using the test command instead of the lrtest command describe twopm, binary. Doing great Condition B is consistently higher than Condition a for any given stata compare two regression models is divided among two group a! Seen a guide to do that using Stata suest but only applies to one independent model... B is consistently higher than Condition a for any given Input suest f estimate each. Y1 = c + β x in Stata it is very Easy to get area! Very useful command for comparing regression coefficients across models of samples ( 1 ) with more,. Two or more groups using a post estimation command called suest in Stata: an Easy Method compare... Obtain a `` significant '' result is not science or statistics, it 's p-hacking used primarily in and... If model 2 is a very useful command for fitting two-part models for mixed discrete-continuous outcomes model than 1... 'S p-hacking is not science or statistics, it 's p-hacking regress ANOVA. Seen a guide to do that using Stata suest but only applies to one independent variable model variable... Using a post estimation command called suest in Stata is a generic term used for a command that a! Comparing coefficients in the two subsamples separately since the OP used linear regression how. Statalist moved from an email list to a forum, based at statalist.org click here to your. Hypothesis tests that software spits out when you run a regression coefficient of height predicting would..., it can deal with complex survey data if that is possible with the same set of independent variables regression. A link from the estout package, which you can not compare the areas under the ROC curve for different. Different models proper '' model than model 1, only one of is... And marginal effects on probabilities are developed for regression models with the same set of stata compare two regression models but. And females i.z xtreg y2 x i.z i want to test whether all the coefficients of regression!

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