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From |
Nick Baker <nb419@cam.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Setting some coefficients to zero in a panel probit regression |

Date |
08 Apr 2013 11:42:16 +0100 |

Many thanks for you help, Nick Baker On Apr 8 2013, Maarten Buis wrote:

On Sun, Apr 7, 2013 at 4:17 PM, Nick Baker wrote:I am estimating the model with 12 lagged monthly returns. Thecoefficients on lagged returns are assumed to be equal across funds,with the exception of those cases where a fund has fewer than 12historical returns.In such a case the authors set the coefficients on lagged returns equalto zero if the corresponding return is unobserved.I am entirely stumped as to how to implement such a procedure in Stataand was wondering if anyone else had encountered a similar problem.Say the problem is just the 12th lag, then you create an indicator variable whether or not the lag should be included in your model. Than replace that lagged variable with any non-missing constant (e.g. 0) when it should not be included in your model. Add the lag an interaction term between the indicotor variable and the lagged variable. The coefficient for the lagged term when it should not be included in your model is automatically dropped from your model (i.e. set to 0) because the lagged variable will than be constant and thus colliniear with the constant. You can easily extend this strategy to the 11th lag, 10th lag, etc. However, I don't think this is a good idea. You added 12 lags because you wanted to adjust your coefficients for 12 lags. Now you get some mixture of adjusting for 12 lags, 11 lags, 10 lags, etc., so who knows what your results mean? Hope this helps, Maarten --------------------------------- Maarten L. Buis WZB Reichpietschufer 50 10785 Berlin Germany http://www.maartenbuis.nl --------------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/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/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Setting some coefficients to zero in a panel probit regression***From:*Maarten Buis <maartenlbuis@gmail.com>

**References**:**st: Setting some coefficients to zero in a panel probit regression***From:*Nick Baker <nb419@cam.ac.uk>

**Re: st: Setting some coefficients to zero in a panel probit regression***From:*Maarten Buis <maartenlbuis@gmail.com>

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