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Re: st: RE: Difference Model


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 08:32:54 +0000

Hi,

Thanks Nick. I couldn't say thanks earlier as earlier I couldn't reply
to my post as my email was not registered for statalist.

I am really very much thankful to you and all others who have helped me.

Regards,

Vikram Finavker

On 2 Nov 2011, at 08:22 AM, Nick Cox <njcoxstata@gmail.com> wrote:

> That establishes that my comments on selecting observations may be
> pertinent. But on the other hand if you look at only those
> observations, you lose any dynamics and appear to assume instantaneous
> effects within the time resolution of the data.
>
> But you need economists working in this area to comment on which
> models might make sense -- and with annual data??? I am not an
> economist, so bail out at this point.
>
> Nick
>
> On Wed, Nov 2, 2011 at 8:00 AM, Vikram Finavker
> <vikramfinavker@gmail.com> wrote:
>> 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.
>>>
>
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