Boosted Regression (Boosting): An introductory tutorial and a Stata ...

R squared (on a test data set).935 .936 .937 .9381 2 3 4 5Number of interactionsFigure 4: Scatter plot of the R 2 (computed on a test data set) versus the number ofinteractions. Note the scale on the vertical axis.I often want to confirm that this model indeed works better than linear regression.Directly comparing the R 2 value for the boosted regression and the linear regression isnot a fair comparison. The boosted regression R 2 refers is computed on a test data set,whereas the linear regression R 2 is computed on the training data set. Using equation (1)it is possible to compute an R 2 on a test data set for the linear regression. For thefollowing set of Stata commands I assume that the first trainn observations in the data setconstitute the training data and the remainder the test data. The predictions from thelinear regression (or any other predictions) are denoted regress_pred.18