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Re: st: Compare models for panel data with xtreg fixed effects
From
Nick Cox <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: Compare models for panel data with xtreg fixed effects
Date
Fri, 5 Jul 2013 08:15:25 +0100
Please note advice in the FAQ about repeating posts. (Posting on 4
July reduces your chances of reply given that one large group of
members was celebrating (once again) their independence from Britain.)
One repeat is allowed, but as said see the advice on that.
Also, it really is "Stata".
Nick
[email protected]
On 5 July 2013 07:45, Madalina Constantin <[email protected]> wrote:
> I want to compare my models in STATA 12 in order to select the best one. I first run a base model with control variables only, then introduce each independent variable individually and finally run a full model with all variables.
> The problem is that I can not compare them. The AIC-test is only for comparing maximum likelihood models. But for xtreg with random effects this is not an option. Neither does there exist a R-squared which I can interpret.
> Here an example of my regressions:
>
> xtreg div_int_change sales_log risk roa_t1 year_d1 year_d2 year_d3 year_d4 year_d5 , re
> xtreg div_int_change ceo_change sales_log risk roa_t1 year_d1 year_d2 year_d3 year_d4 year_d5 , re
> xtreg div_int_change ceo_change ex_change tmt_sz_change sales_log risk roa_t1 year_d1 year_d2 year_d3 year_d4 year_d5,re
>
> Is there any possibility to test the model fit respectively to say if the full model is better than the other models?
>
> Thank you.
>
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