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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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