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st: Systematic Estimations


From   Barbara Engels <engels.ba@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Systematic Estimations
Date   Wed, 25 May 2011 14:41:38 +0200

Dear Statalisted,

I have a less technical and rather general question.  I am a newbie regarding empirical evaluations of time-series. I am dealing with the relation between total factor productivity and research and development expenditure now. There are many variables that could play a role in determining total factor productivity. I have been trying to estimate regressions for quite some time, introducing variables, excluding them again. Estimated coefficients have changed dramatically in value and sign, and so did R^2.  
My question is: Is there any recommendable system of how to pick and drop variables again, making sure that THIS regression equation is better than the OTHER and not the other way around without getting lost in wild estimations?

Would be very kind if you could help me out with your experience.

Best,
Barbara

P.S. Sometimes my replies to former posts of mine and your answers haven't been sent. Anyways, thank you for your answers!
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