### Variance Decomposition

Posted:

**Fri Nov 27, 2020 11:12 pm**Greetings!

I am running into some trouble with a model and looking for some assistance.

I come from organizational studies and my goal is to figure out how much of the variance in firm ESG performance is attributable to different “effects” (e.g. Firm Effect vs Regional Effect). I essentially have a panel data set with firms measured across years. Much older studies regarding financial performance have used ANOVA . Multilevel modeling as random effects is relatively more recent to the area.

For my analysis ESG score is my dependent variable instead of financial performance and I have 6 “effects” I’d like to capture.

-Firm

-Year

-Region

-Industry

-CEO (There are more CEOs than firms for when Executives turnover)

-Business Segments (Every firm must by design be in at least two segments and these are in the data set as unique columns)

I do not know how to model this effectively. I think I need cross-classification and I assume I also need multiple memberships. STATA’s built in features were unsuccessful which led me to this wonderful place. However, so far I have still been largely unsuccessful.

I must confess that I am a new PhD student and am quite “in over my head”. I had foolishly thought the process would just be a more advanced ANOVA, but I have certainly found it far more complex.

My sincere appreciation for any assistance you can provide!

I am running into some trouble with a model and looking for some assistance.

I come from organizational studies and my goal is to figure out how much of the variance in firm ESG performance is attributable to different “effects” (e.g. Firm Effect vs Regional Effect). I essentially have a panel data set with firms measured across years. Much older studies regarding financial performance have used ANOVA . Multilevel modeling as random effects is relatively more recent to the area.

For my analysis ESG score is my dependent variable instead of financial performance and I have 6 “effects” I’d like to capture.

-Firm

-Year

-Region

-Industry

-CEO (There are more CEOs than firms for when Executives turnover)

-Business Segments (Every firm must by design be in at least two segments and these are in the data set as unique columns)

I do not know how to model this effectively. I think I need cross-classification and I assume I also need multiple memberships. STATA’s built in features were unsuccessful which led me to this wonderful place. However, so far I have still been largely unsuccessful.

I must confess that I am a new PhD student and am quite “in over my head”. I had foolishly thought the process would just be a more advanced ANOVA, but I have certainly found it far more complex.

My sincere appreciation for any assistance you can provide!