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Re: st: relative importance of independent variables


From   Fred Wolfe <fwolfe@arthritis-research.org>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: relative importance of independent variables
Date   Tue, 14 Jun 2011 07:23:17 -0500

There is an R program that I have used to do this. Search for the R
package, "Relaimp." I have run this successfully from Stata with the
Stata to R conversion program. It requires Stattransfer.

Here is the underlying article. Estimators of Relative Importance in
Linear Regression Based on Variance Decomposition. Ulrike Groemping
The American Statistician, May 2007, Vol. 61, No. 2 139

Fred

On Tue, Jun 14, 2011 at 7:04 AM, Stefan Nijssen <stefannijssen@gmail.com> wrote:
>
> 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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