hi: no. it's not the same. if you read the paper that I referenced last
night, that explains how to do the following test :
Ho: R2 = R1
H1: R2 != R1
that's a different test from what you did but i think it's what you want.
On Jul 8, 2010, chen jia <chen_1...@fisher.osu.edu> wrote:
Thanks, Chuck. I am reading the references, which are helpful.
Just to understand what I have done wrong here,
I proposed an alternative testing strategy:
I run regressions y = a3 + b1 * x + b2 * z + e3 and test alternative
hypothesis b1 != b2 against the null hypothesis b1 = b2 in this
equation.
Is it this the same test as
y = a1 + b1*x + e1
y = a2 + b2*x + e2
test alternative hypothesis b1 != b2 against null hypothesis b1 = b2.
Best,
Jia
On Wed, Jul 7, 2010 at 11:12 PM, Charles C. Berry <cbe...@tajo.ucsd.edu>
wrote:
> On Wed, 7 Jul 2010, chen jia wrote:
>
>> Hi there,
>>
>> I run two regressions:
>>
>> y = a1 + b1 * x + e1
>> y = a2 + b2 * z + e2
>>
>> I want to test against the null hypothesis: b1 = b2. Â How do I design
the
>> test?
>>
>
> You are testing a non-nested hypothesis, which requires special
handling.
>
> The classical test is due to Hotelling, but see the references (and R
code
> snippets) in this posting:
>
> Â Â Â Â http://markmail.org/message/egnowmdzpzjtahy7
>
> (it is the merest coincidence that the above thread was initiated by
Mark
> Leeds and that the URL is 'markmail' :-) )
>
> HTH,
>
> Chuck
>
>
>> I think I can add two equations together and divide both sides by 2:
>> y = 0.5*(a1+a2) + 0.5*b1 * x + 0.5*b2 * z + e3, where e3 = 0.5*(e1 +
e2).
>> or just y = a3 + 0.5*b1 * x + 0.5*b2 * z + e3
>>
>> If I run this new regression, I can test against the null b1 = b2 in
>> this regression. Â Is it an equivalent test as the original one? If
>> yes, how do I do that in R?
>>
>> Alternatively, I think I can just test against the null:
>> correlation(y, x) = correlation(y, z), where correlation(. , .) is the
>> correlation between two random variables. Is this equivalent too? If
>> yes, how do I do it in R?
>>
>> Thanks.
>>
>> Best,
>> Jia
>>
>> --
>> Â Â Â Â Â Â Â Â Â Â Â Â Ohio State University - Finance
>> Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â 248 Fisher Hall
>> Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â 2100 Neil Ave.
>>               Columbus, Ohio  43210
>> Â Â Â Â Â Â Â Â Â Â Â Â Â Â Telephone: 614-292-2830
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>>
>> ______________________________________________
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>>
>
> Charles C. Berry               (858) 534-2098
> Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Â Dept of
Family/Preventive
> Medicine
> E mailto:cbe...@tajo.ucsd.edu        UC San Diego
> http://famprevmed.ucsd.edu/faculty/cberry/ Â La Jolla, San Diego
92093-0901
>
>
>
--
Ohio State University - Finance
248 Fisher Hall
2100 Neil Ave.
Columbus, Ohio 43210
Telephone: 614-292-2830
http://www.fisher.osu.edu/~chen_1002/
______________________________________________
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.
______________________________________________
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.
