{smcl} {* Nov 11 2022}{...} {viewerdialog xtsel "dialog xtsel"}{...} {vieweralsosee "[XT] xtselmod" "help xtselmod"}{...} {vieweralsosee "[XT] xtselvar" "help xtselvar"}{...} {vieweralsosee "[XT] xtoos_t" "help xtoos_t"}{...} {vieweralsosee "[XT] xtoos_i" "help xtoos_i"}{...} {vieweralsosee "[XT] xtoos_bin_t" "help xtoos_bin_t"}{...} {vieweralsosee "[XT] xtoos_bin_i" "help xtoos_bin_i"}{...} {vieweralsosee "tuples" "help tuples"}{...} {hline} Help for {hi:xtsel} {hline} {title:Description} {p} The package {cmd:XTSEL} includes two commands that help us to rank the best predictors between a number of alternative explanatory variables ({help xtselvar}), or the best specification between all possible combinations of a set of explanatory variables ({help xtselmod}), according to several in-sample and out-of-sample statistics. They are specially adapted for a panel data framework, firstly because the out-of-sample prediction performance is measured in the two inherent dimensions of a panel (time-series and cross-individuals), and secondly because they allow a large number of methodological options that typically are necessary in panel data analysis. Given a set of {it:n} predictors, {cmd:xtselvar} estimates the same specification {it:n} times, one for each predictor. {cmd:xtselmod} estimates {it:(2^n - 1)} different specifications, one per each possible combination out of the set of {it:n} variables. Both procedures keep constant the same dependent variable and an optional list of fixed control variables, plus several other methodological options. For each candidate variable/specification, the procedures estimate a set of parameters and statistical criteria: 1. Adjusted R squared (R2_ad). 2. Akaike Information Criterion (AIC). 3. Bayesian Information Criterion (BIC) 4. U-Theil in time-series dimension: RMSE of variable/specification vs. RMSE from a naïve prediction or an AR1 model (Uth_TS). 5. U-Theil in cross-section dimension: RMSE of variable/specification vs. RMSE from a naïve prediction or an AR1 model (Uth_CS) Both commands rank each variable/specification according to each criterion and generate one ranking per each one of them. {cmd:xtselvar} also reports coefficients and t-statistic of each candidate variable. They also compute a composite ranking summarizing all five criteria. They finally sort all candidate variables/specifications according to the selected ranking, which by default is the composite ranking. {p}See {help xtselvar} for specific help about {cmd:xtselvar} command.{p_end} {p}See {help xtselmod} for specific help about {cmd:xtselmod} command.{p_end} {title:Proceedings USA Stata Conference 2020} https://www.stata.com/meeting/us20/slides/us20_Ugarte-Ruiz.pdf {title:Author} Alfonso Ugarte-Ruiz alfonso.ugarte@bbva.com {title:References} . Joseph N. Luchman & Daniel Klein & Nicholas J. Cox, 2006. "TUPLES: Stata module for selecting all possible tuples from a list", Statistical Software Components S456797, Boston College Department of Economics, revised 17 May 2020. . Alfonso Ugarte-Ruiz, 2019. "XTOOS: Stata module for evaluating the out-of-sample prediction performance of panel-data models," Statistical Software Components S458710, Boston College Department of Economics, revised 09 Jun 2020.