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Re: st: RE: Difference Model


From   Vikram Finavker <[email protected]>
To   "[email protected]" <[email protected]>
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 <[email protected]> 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
> [email protected]
>
> 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.
>
>
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