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st: incremental F-test for xtreg with Random Effects


From   "Ann Terlaak" <aterlaak@bus.wisc.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: incremental F-test for xtreg with Random Effects
Date   Mon, 3 Nov 2003 10:23:55 -0600

Hi, 

I am running an xtreg with Random Effects, and would like to perform
something like an incremental F-test to test if models improve
significantly. 

Which of the reported R-squares should I be using for the F-test?
(within, between, overall?). Also, as I am counting the number of
independent variables, am I right to assume that the random effect is
like a fixed effect in the sense that it simply can be counted as one
variable (i.e., a dummy except with random values) per group?

Finally, is there an alternative test that is superior and that I should
be using instead? 

Thanks, 
Ann 



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