Hi everyone,

Firstly, I run the two following models.
Code:
xtreg lev tan1 ebit1 size1 if d_bank== 1, fe vce(cluster id)
xtreg lev tan1 ebit1 size1 if d_bank== 0, fe vce(cluster id)
Secondly, I calculate predicted leverage (lev) of BANK and non-BANK by multiplying estimated coefficients by mean of each independent variables. I will use predicted leverage for my analyses.

One of my reviewers said: they use fixed coefficient parameters from leverage regressions to calculate predicted leverage and then apply them for their analyses. The authors might consider estimate time-varying coefficient parameters.

My questions are:
- How can I test whether my coefficients are time-variant?
- If my coefficients are time-variant, how can I estimate time-varying coefficient parameters?

I would really appreciate all the help I can get.

Best regards