Based on my eyes and a hunch I conclude these two variables are statistically different?
September 13, 2011 10:37 AM Subscribe
How can I test if one predictor variable in a regression is significantly better than another predictor variable?
i.e. If I regress X against A I get an r^2 of .99 and when I regress X against B I get .98. I need a test to see whether this difference is statistically significant.
posted by vegetableagony to education (16 answers total) 5 users marked this as a favorite
In case extra details are import:
X is the daily returns of a mutual fund, and A and B are the daily returns of two market indices. I'd like to know if I can support the claim that X tracks A more closely than it track B. (I would guess that the difference is not significant, but I need a formal test).
I have all the data/software to run alternative variations on the models if that is needed.