Hi - I am using a dataset of US listed industrials (2000-2020) and studying the moderation impact of the global financial crisis on the relationship between geographic diversification of the firms and their performance (ROA.) I have operationalized geographic diversification in 2 ways:
  1. Extent of Foreign sales (also called Foreign Market Penetration) - Ln_GSD (MODEL 1)
  2. Extent of Foreign production (Foreign Production) - Ln_GSD_Asset (MODEL 2)
Based on the above 2 operationalizations, I have created two models (indicated as MODEL 1 and MODEL 2 above.) Pasted below the moderation results for both models. I am looking for a test to ascertain if the moderation impact of the crisis for FMP-Performance (Ln_GSD) or MODEL 1 is greater than the moderation impact of the crisis for FP-Performance (Ln_GSD_Asset) or MODEL 2.
  • Could you please guide me as to which test I should use? I was thinking of using the likelihood ratio test, however, that works only for nested models.
  • Since my 2 models are not nested models, should I use nnest instead (https://stats.oarc.ucla.edu/stata/co...nested-models/) ?
  • Another option is to use estat ic but I believe that it works for log likelihood models only.
Would have any suggestions for me?

MODEL 1
Code:
xtreg Ln_EBIT_ROA Ln_Revenue Ln_LTD_to_Sales Ln_Intangible_Assets  CoAge wGDPpc wCPI wDCF wExpgr w
> GDPgr wCons Ln_PS_RD c.l1.Ln_GSD##c.l1.Ln_GSD##ib2.crisis if  CoAge>=0 & NATION=="UNITED STATES" &
>  NATIONCODE==840 & FSTS>=10 & FSTS <=100 & GENERALINDUSTRYCLASSIFICATION ==1 & Year_<2020 & Year_<
> YearInactive & Discr_GS_Rev!=1, fe cluster(n_WSID)

Fixed-effects (within) regression               Number of obs     =      1,080
Group variable: n_WSID                          Number of groups  =        215

R-sq:                                           Obs per group:
     within  = 0.1280                                         min =          1
     between = 0.0043                                         avg =        5.0
     overall = 0.0123                                         max =         19

                                                F(17,214)         =          .
corr(u_i, Xb)  = -0.7239                        Prob > F          =          .

                                             (Std. Err. adjusted for 215 clusters in n_WSID)
--------------------------------------------------------------------------------------------
                           |               Robust
               Ln_EBIT_ROA |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
---------------------------+----------------------------------------------------------------
                Ln_Revenue |   .5231021   .1499161     3.49   0.001     .2276008    .8186035
           Ln_LTD_to_Sales |   -.125481   .0419333    -2.99   0.003    -.2081362   -.0428258
      Ln_Intangible_Assets |  -.1103335   .0615829    -1.79   0.075    -.2317202    .0110532
                     CoAge |  -.0029363   .0166989    -0.18   0.861    -.0358517    .0299791
                    wGDPpc |   .0000298   .0000218     1.37   0.172    -.0000131    .0000727
                      wCPI |   .0060675   .0254869     0.24   0.812      -.04417     .056305
                      wDCF |   1.36e-13   1.27e-13     1.07   0.285    -1.14e-13    3.85e-13
                    wExpgr |   .0126791   .0125128     1.01   0.312    -.0119851    .0373433
                    wGDPgr |   .0115004   .0300052     0.38   0.702    -.0476431     .070644
                     wCons |  -2.27e-14   4.36e-14    -0.52   0.603    -1.09e-13    6.32e-14
                  Ln_PS_RD |    -.04777   .0474308    -1.01   0.315    -.1412614    .0457213
                           |
                    Ln_GSD |
                       L1. |    -.49074   .2583853    -1.90   0.059    -1.000046    .0185662
                           |
       cL.Ln_GSD#cL.Ln_GSD |    .177507   .1103887     1.61   0.109    -.0400813    .3950953
                           |
                    crisis |
                        1  |   .0000289   .1170896     0.00   1.000    -.2307677    .2308255
                        3  |   -.244763   .1386875    -1.76   0.079    -.5181314    .0286055
                           |
          crisis#cL.Ln_GSD |
                        1  |  -.0697625   .1898751    -0.37   0.714    -.4440274    .3045024
                        3  |  -.1822128   .2083067    -0.87   0.383    -.5928084    .2283829
                           |
crisis#cL.Ln_GSD#cL.Ln_GSD |
                        1  |  -.2631727   .1049846    -2.51   0.013    -.4701091   -.0562364
                        3  |  -.2041293   .0970556    -2.10   0.037    -.3954366   -.0128219
                           |
                     _cons |   -13.0135   2.823174    -4.61   0.000    -18.57829   -7.448709
---------------------------+----------------------------------------------------------------
                   sigma_u |  1.1013267
                   sigma_e |  .59130596
                       rho |  .77623771   (fraction of variance due to u_i)
--------------------------------------------------------------------------------------------
MODEL 2
Code:
. xtreg Ln_EBIT_ROA Ln_Revenue Ln_LTD_to_Sales Ln_Intangible_Assets  CoAge wGDPpc wCPI wDCF wExpgr w
> GDPgr wCons Ln_PS_RD c.l1.Ln_GSD_Asset##c.l1.Ln_GSD_Asset##ib2.crisis if  CoAge>=0 & NATION=="UNIT
> ED STATES" & NATIONCODE==840 & FSTS>=10 & FSTS <=100 & GENERALINDUSTRYCLASSIFICATION ==1 & Year_<2
> 020 & Year_<YearInactive & Discr_GS_Rev!=1, fe cluster(n_WSID)

Fixed-effects (within) regression               Number of obs     =        938
Group variable: n_WSID                          Number of groups  =        188

R-sq:                                           Obs per group:
     within  = 0.1327                                         min =          1
     between = 0.0051                                         avg =        5.0
     overall = 0.0096                                         max =         18

                                                F(17,187)         =          .
corr(u_i, Xb)  = -0.7147                        Prob > F          =          .

                                                  (Std. Err. adjusted for 188 clusters in n_WSID)
-------------------------------------------------------------------------------------------------
                                |               Robust
                    Ln_EBIT_ROA |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
--------------------------------+----------------------------------------------------------------
                     Ln_Revenue |   .6324088   .1731603     3.65   0.000     .2908101    .9740075
                Ln_LTD_to_Sales |  -.1416329   .0584044    -2.43   0.016    -.2568491   -.0264167
           Ln_Intangible_Assets |  -.1816245   .0582329    -3.12   0.002    -.2965023   -.0667468
                          CoAge |  -.0027908   .0165359    -0.17   0.866    -.0354117    .0298302
                         wGDPpc |   .0000134   .0000174     0.77   0.443    -.0000209    .0000477
                           wCPI |  -.0212403   .0263041    -0.81   0.420    -.0731312    .0306507
                           wDCF |   2.58e-13   1.32e-13     1.95   0.052    -2.37e-15    5.19e-13
                         wExpgr |   .0171985   .0136959     1.26   0.211      -.00982    .0442169
                         wGDPgr |   .0045089   .0324868     0.14   0.890    -.0595788    .0685967
                          wCons |  -6.90e-14   4.54e-14    -1.52   0.130    -1.58e-13    2.05e-14
                       Ln_PS_RD |  -.0919234   .0727104    -1.26   0.208    -.2353614    .0515146
                                |
                   Ln_GSD_Asset |
                            L1. |   .0831113   .3679609     0.23   0.822    -.6427766    .8089992
                                |
cL.Ln_GSD_Asset#cL.Ln_GSD_Asset |   .2656332   .2406542     1.10   0.271    -.2091129    .7403792
                                |
                         crisis |
                             1  |   -.188022   .1496301    -1.26   0.210    -.4832019    .1071579
                             3  |  -.3896768   .1794329    -2.17   0.031    -.7436496    -.035704
                                |
         crisis#cL.Ln_GSD_Asset |
                             1  |  -.5481548   .3419877    -1.60   0.111    -1.222805     .126495
                             3  |   -.523638   .3525392    -1.49   0.139    -1.219103     .171827
                                |
         crisis#cL.Ln_GSD_Asset#|
                cL.Ln_GSD_Asset |
                             1  |  -.3290189   .2468779    -1.33   0.184    -.8160426    .1580048
                             3  |  -.3656444   .2437182    -1.50   0.135    -.8464348     .115146
                                |
                          _cons |  -13.58189   3.460469    -3.92   0.000    -20.40846   -6.755312
--------------------------------+----------------------------------------------------------------
                        sigma_u |  1.1117421
                        sigma_e |  .59800123
                            rho |  .77559559   (fraction of variance due to u_i)
-------------------------------------------------------------------------------------------------