I have two linear regression models (with the same predictors) that try to estimate two different (although related) features of the same population. I am analyzing the hypothesis that these predictors are not as good for the second feature as they are for the first. Indeed, the RMSE of the second model is 7% worse than the RMSE of the first: it is not a huge difference, but for my purposes it is fine.
The problem is: I have been asked the statistical significance of this result (the 7% worse).
I am a computer scientist, not a statistics expert, and I am at a loss here on which test I should use, given that I am trying to compare the squared errors of the two (paired) sets of predictions (I am using SPSS software).