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Re: st: relative importance of independent variables
From
Fred Wolfe <[email protected]>
To
[email protected]
Subject
Re: st: relative importance of independent variables
Date
Tue, 14 Jun 2011 07:23:17 -0500
There is an R program that I have used to do this. Search for the R
package, "Relaimp." I have run this successfully from Stata with the
Stata to R conversion program. It requires Stattransfer.
Here is the underlying article. Estimators of Relative Importance in
Linear Regression Based on Variance Decomposition. Ulrike Groemping
The American Statistician, May 2007, Vol. 61, No. 2 139
Fred
On Tue, Jun 14, 2011 at 7:04 AM, Stefan Nijssen <[email protected]> wrote:
>
> Hi all,
>
> I am running an OLS, see below, in which I relate 3 variables (currentratio, margin and da) to OAS, all continuous. I control for industry and country (twice a triple dummy, added to the equation). Seems to perform reasonably well to me. However, I have one last issue to overcome. I would like to determine the relative importance to the model, and especially the hierarchy of this importance, of the three independent variables currentratio, margin and da. Probably this is task must be doable but I cant seem to find a proper way through any academic articles or google. Can anyone help me in this?
>
> Thank you,
>
> Stefan Nijssen
>
> . reg oas currentratio margin da IND FIN EMU UK if year==1
>
> Source | SS df MS Number of obs = 131
> -------------+------------------------------ F( 7, 123) = 14.83
> Model | 332.814377 7 47.544911 Prob > F = 0.0000
> Residual | 394.273742 123 3.20547758 R-squared = 0.4577
> -------------+------------------------------ Adj R-squared = 0.4269
> Total | 727.088119 130 5.59298553 Root MSE = 1.7904
>
> ------------------------------------------------------------------------------
> oas | Coef. Std. Err. t P>|t| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> currentratio | -1.050236 .3994786 -2.63 0.010 -1.840979 -.2594922
> margin | -.1352543 .0155866 -8.68 0.000 -.1661069 -.1044016
> da | 2.435625 .8356272 2.91 0.004 .7815525 4.089698
> IND | -.8265469 .610527 -1.35 0.178 -2.035048 .3819539
> FIN | -2.925942 1.885989 -1.55 0.123 -6.659141 .8072569
> EMU | -.5150726 .4835976 -1.07 0.289 -1.472324 .4421792
> UK | .5128902 .627246 0.82 0.415 -.7287048 1.754485
> _cons | 3.837967 .9538036 4.02 0.000 1.949971 5.725963
> ------------------------------------------------------------------------------
>
>
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