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Re: st: Fama-MacBeth regression


From   Islam Abdeljawad <islamabdeljawad@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Fama-MacBeth regression
Date   Sun, 14 Aug 2011 07:50:08 -0700 (PDT)

 Thanks a lot. simple trick



----- Original Message -----
> From: Sami Alameen <samialameen@gmail.com>
> To: statalist@hsphsun2.harvard.edu
> Cc: 
> Sent: Sunday, August 14, 2011 8:33 PM
> Subject: Re: st: Fama-MacBeth regression
> 
> Assuming the model is justified:
> 
> Just create a lagged dependent variable and include it in the regression
> 
> use grunfeld
> xtset company year
> by company: gen l_invest=invest[_n-1]
> 
> xtfmb invest l_invest kstock mvalue
> *
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> *  http://www.stata.com/help.cgi?search
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>

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