st: information criterions after -xtreg, re-

["Filippo Maria D'Arcangelo" <filippo.darcangelo@unibocconi.it>]

Dear statlisters,

I have a panel dataset and I am running a set of regressions.
They are "nested", in the sense of Wooldridge(2005), i.e. the covariates varies incrementally from a simpler model to a more "rich" one.
For this purpose, I am using -xtreg, re-, assuming random effects toward the panel groups.
I want to compare the regressions, using some sort of (not too fancy) criterion.

I know that a useful criterion could be Akaike's Information Criterion (AIC). I am also aware that there are a few alternatives, mostly relying on Kullback–Leibler divergence, which in turns (to the extent of my limited knowledge) relies on a likelihood calculation.  

However, -xtreg, re- does not store any likelihood measure (and therefore, no AIC). 
Other options of -xtreg- do have this feature (e.g. [, fe] and definitely [, mle]).
Is there any theoretical reason for the likelihood not to be calculated after a random effect regression?

Should I use something different instead, such as a goodness-to-fit criterion, i.e. adjusted-R^2? If yes, does anybody of you knows how to correct determine this parameter (adj-R^2) for panel data?
Thank you,


Filippo Maria D'Arcangelo


Reference: Wooldridge, Jeffrey M. (2005) "Introductory Econometrics. A Modern Approach". p. 193

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