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From |
Vikram Finavker <vikramfinavker@gmail.com> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: RE: Difference Model |

Date |
Wed, 2 Nov 2011 08:00:28 +0000 |

Hi, Sorry for not explaining why I want to use the model. Actually, I want to examine the effects of hedging on risk measures when a firm either starts hedging or stops hedging i.e. when h1 changes from 0 to 1 or from 1 to 0. Hope this makes it clear now. Regards, Vikram Finavker On 1 Nov 2011, at 11:48 PM, Nick Cox <n.j.cox@durham.ac.uk> wrote: > I don't see how you think we can help. There is no context here and no explanation of why any model might make sense for whatever is your research problem. > > If you are saying that you want to select times at which -h1- differs from its previous value then > > ... if h1 != h1[_n-1] > > selects such observations. > > Nick > n.j.cox@durham.ac.uk > > vikramfinavker > > I have a data like this... > > year firmid h1 x1 x2 x3 x4 x5 > 1998 1 0 1 10 > 1999 1 0 1 11 > 2000 1 0 1 12 > 2001 1 0 1 12 > 2002 1 1 1 13 > 2003 1 1 1 18 > 2004 1 1 1 17 > 2005 1 1 1 16 > 2006 1 1 1 15 > 2007 1 1 1 14 > 1998 2 0 1 10 > 1999 2 0 1 11 > 2000 2 0 1 12 > 2001 2 0 1 12 > 2002 2 0 1 13 > 2003 2 0 1 18 > 2004 2 1 1 17 > 2005 2 1 1 16 > 2006 2 1 1 15 > 2007 2 1 1 14 > > Now i want to run regression using following way; > reg x3 h1 x2 > > but i want to use only those observations where variables "h1" changes to > either "1" or "0". can i use first difference model.? Does it help me in > this case? can i run regression like: > > reg x3 d.h1 x2 > > or do i have to run it like this > > reg d.x3 d.h1 d.x2 > > Please let me know if you can help. > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: RE: Difference Model***From:*Nick Cox <njcoxstata@gmail.com>

**References**:**st: Difference Model***From:*vikramfinavker <vikramfinavker@gmail.com>

**st: RE: Difference Model***From:*Nick Cox <n.j.cox@durham.ac.uk>

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