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st: stepwise regression for panel data

From   Timm Sprenger <>
Subject   st: stepwise regression for panel data
Date   Tue, 2 Mar 2010 12:01:54 +0100

I have panel data (stock market data) and would like to compare two xtreg
regressions to test for a significant improvement of the model with
additional predictors.

So I am looking for the equivalent of hireg for panel data or another way to
determine the significance of changes in r-squared of two panel data
There should be F-test or chi2-tests that can do this, but I am not sure how
to apply them in this context.

Thanks a lot!

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