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st: relative importance of independent variables


From   Stefan Nijssen <stefannijssen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: relative importance of independent variables
Date   Tue, 14 Jun 2011 14:04:50 +0200

Hi all,

I am running an OLS, see below, in which I relate 3 variables (currentratio, margin and da) to OAS, all continuous. I control for industry and country (twice a triple dummy, added to the equation). Seems to perform reasonably well to me. However, I have one last issue to overcome. I would like to determine the relative importance to the model, and especially the hierarchy of this importance, of the three independent variables currentratio, margin and da. Probably this is task must be doable but I cant seem to find a proper way through any academic articles or google. Can anyone help me in this?

Thank you,

Stefan Nijssen

. reg oas currentratio margin da IND FIN EMU UK if year==1

      Source |       SS       df       MS              Number of obs =     131
-------------+------------------------------           F(  7,   123) =   14.83
       Model |  332.814377     7   47.544911           Prob > F      =  0.0000
    Residual |  394.273742   123  3.20547758           R-squared     =  0.4577
-------------+------------------------------           Adj R-squared =  0.4269
       Total |  727.088119   130  5.59298553           Root MSE      =  1.7904

------------------------------------------------------------------------------
         oas |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
currentratio |  -1.050236   .3994786    -2.63   0.010    -1.840979   -.2594922
      margin |  -.1352543   .0155866    -8.68   0.000    -.1661069   -.1044016
          da |   2.435625   .8356272     2.91   0.004     .7815525    4.089698
         IND |  -.8265469    .610527    -1.35   0.178    -2.035048    .3819539
         FIN |  -2.925942   1.885989    -1.55   0.123    -6.659141    .8072569
         EMU |  -.5150726   .4835976    -1.07   0.289    -1.472324    .4421792
          UK |   .5128902    .627246     0.82   0.415    -.7287048    1.754485
       _cons |   3.837967   .9538036     4.02   0.000     1.949971    5.725963
------------------------------------------------------------------------------


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