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st: Compare two models in panel data for xtreg with random effects
From
Madalina Constantin <[email protected]>
To
[email protected]
Subject
st: Compare two models in panel data for xtreg with random effects
Date
Thu, 4 Jul 2013 06:45:45 -0700 (PDT)
Hallo,
I want to compare two models for my panel data (104 observations, years 2006-2011) where the only differing variable is the dependent variable. I estimate the following regressions with random effects:
xtreg div_tot_change ceo_change ex_change tmt_sz_change sales_log risk roa_t1 year_d1 year_d2 year_d3 year_d4 year_d5 , re
xtreg div_herf_change ceo_change ex_change tmt_sz_change sales_log risk roa_t1 year_d1 year_d2 year_d3 year_d4 year_d5 , re
I tried to use a Hausman test, but I know the Hausman test is only for comparing fixed effects vs. random effects. I read all the FAQs but couldn`t find any test for comparing regressions in panel data with random effects.
Since there is no interpretable R-squared like in the normal OLS regression I wonder if there is some Likelihood-test I can use for this situation.
Thank you!
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