Hello Mark, in addition and complementing the already provided answers to your question. You want to consider the J-test, too. For an outline and the pitfalls of this test, see:
http://citeseer.ist.psu.edu/cache/papers/cs/24954/http:zSzzSzwww.econ.qu eensu.cazSzfacultyzSzdavidsonzSzbj4-noam.pdf/bootstrap-j-tests-of.pdf Best, Bernhard > >I estimate two competing simple regression models, A and B >where the LHS >is the same in both cases but the predictor is different ( >I handle the intercept issue based on other postings I have seen ). I >estimate the two models on a weekly basis over 24 weeks. >So, I end up with 24 RSquaredAs and 24 RsquaredBs, so essentally 2 time >series of Rsquareds. This doesn't have to be necessarily >thought of as a >time series problem but, is there a usual way, given the Rsquared data, >to test > >H0 : Rsquared B = Rsquared A versus H1 : Rsquared B > Rsquared A > >so that I can map the 24 R squared numbers into 1 statistic. Maybe >that's somehow equivalent to just running 2 big regressions over the >whole 24 weeks and then calculating a statistic from those based on >those regressions ? > >I broke things up into 24 weeks because I was thinking that the >stability of the performance difference of the two models could be >examined over time. Essentially these are simple time series >regressions >X_t = B*X_t-1 + epsilon so I always need to consider >whether any type of behavior is stable. But now I am thinking >that, if >I just want one overall number, then maybe I should be considering all >the data simultaneously ? > >In a nutshell, I am looking for any suggestions on the best >way to test >whether Model B is better than Model A where > >Model A : X_t = Beta*X_t-1 + epsilon > >Model B : X_t = Betastar*Xstar_t-1 + epsilonstar > > >Thanks fo your help. >-------------------------------------------------------- > >This is not an offer (or solicitation of an offer) to >buy/se...{{dropped}} > >______________________________________________ >R-help@r-project.org mailing list >https://stat.ethz.ch/mailman/listinfo/r-help >PLEASE do read the posting guide >http://www.R-project.org/posting-guide.html >and provide commented, minimal, self-contained, reproducible code. > ***************************************************************** Confidentiality Note: The information contained in this mess...{{dropped}} ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
