Hi everyone,

Firstly, I run the two following models.

Secondly, I calculate predicted leverage (lev) of BANK and non-BANK by multiplying estimated coefficients by mean of each independent variables. I will use predicted leverage for my analyses.

One of my reviewers said: they use fixed coefficient parameters from leverage regressions to calculate predicted leverage and then apply them for their analyses. The authors might consider estimate

My questions are:

- How can I test whether my coefficients are time-variant?

- If my coefficients are time-variant, how can I estimate time-varying coefficient parameters?

I would really appreciate all the help I can get.

Best regards

Firstly, I run the two following models.

Code:

xtreg lev tan1 ebit1 size1 if d_bank== 1, fe vce(cluster id) xtreg lev tan1 ebit1 size1 if d_bank== 0, fe vce(cluster id)

One of my reviewers said: they use fixed coefficient parameters from leverage regressions to calculate predicted leverage and then apply them for their analyses. The authors might consider estimate

**time-varying coefficient parameters**.My questions are:

- How can I test whether my coefficients are time-variant?

- If my coefficients are time-variant, how can I estimate time-varying coefficient parameters?

I would really appreciate all the help I can get.

Best regards

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