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st: stepwise regression for panel data
From
Timm Sprenger <[email protected]>
To
[email protected]
Subject
st: stepwise regression for panel data
Date
Tue, 2 Mar 2010 12:01:54 +0100
I have panel data (stock market data) and would like to compare two xtreg
regressions to test for a significant improvement of the model with
additional predictors.
So I am looking for the equivalent of hireg for panel data or another way to
determine the significance of changes in r-squared of two panel data
regressions.
There should be F-test or chi2-tests that can do this, but I am not sure how
to apply them in this context.
Thanks a lot!
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