[R] jtest to test significance of R2 change

Olga Lyashevska olga at herenstraat.nl
Wed May 19 13:17:28 CEST 2010


Hello,

I want  to compare 6 non-nested models   
lm(Y1~X11),lm(Y1~X12),lm(Y1~X13),lm(Y1~X14),lm(Y1~X15),lm(Y1~X16)  
based on their R2 values.

I am using jtest as following:

jtest(lm(Y1~X11),lm(Y1~X12))
jtest(lm(Y1~X11),lm(Y1~X13))
jtest(lm(Y1~X11),lm(Y1~X14))
etc

Is there is a way to generalize it? Would jtest be appropriate  
technique if I want to find out whether change in R2 across models is  
significant?

Many thanks
Olga



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