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  • Is there a statistical technique to perform this comparison? How could I do this on stata?

    Hello, I've been busy on a work, where I have to compare two financial econometrics models on the determinants of financial leverage (panel data).
    These have only few control variables and the dependent variable in common, and some other independent variables differ.
    So they are:
    1) Leverage = a + X1 + X2 + X3 + Z1 + Z2
    2) Leverage = a + X1 + X2 + X3 + Z3 + Z4 + Z5
    Can you suggest me any technique to compare these models, if possible? How could I do this on stata?
    Thanks a lot for your help,
    Best regards

  • #2
    anyone can help?!? thanks

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    • #3
      Hi IO,
      First, keep in mind to use your real name as user name, or sign your post. Not only is polite, its part of Statalist protocol, and make its easier to refer to you when answering.
      In answer to your question, there is no straight forward command to do this in Stata, but rather alternatives you could find on any basic econometrics book. Look into testing nested models.
      A very simple way is to run your model with all Z's variables, and test if either z1 and z2 are equal to zero (so chose model2) or if z3 z4 and z5 are equal to zero (choose model 1).
      HTH
      Fernando

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