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From |
Maarten Buis <maartenlbuis@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Mon, 8 Apr 2013 12:52:08 +0200 |

Here is an example: *------------------ begin example ------------------ sysuse auto, clear gen byte miss = missing(rep78) replace rep78 = 0 if miss logit foreign i.miss#c.rep78 weight *------------------- end example ------------------- (For more on examples I sent to the Statalist see: http://www.maartenbuis.nl/example_faq ) Hope this helps, Maarten On Mon, Apr 8, 2013 at 12:42 PM, Nick Baker <nb419@cam.ac.uk> wrote: > Thank you very much for your help Maarten, > I have implemented the first part of the method, but am unsure about the > second aspect: "Add the lag an interaction term between the indicotor > variable and the lagged variable". Do I use the interaction terms as > regressors instead of the lagged returns or do I use the sum of the > interaction terms and the lagged returns as regressors? > > 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. The >>> coefficients on lagged returns are assumed to be equal across funds, with >>> the exception of those cases where a fund has fewer than 12 historical >>> returns. >>> >>> In such a case the authors set the coefficients on lagged returns equal >>> to zero if the corresponding return is unobserved. >>> >>> I am entirely stumped as to how to implement such a procedure in Stata >>> and 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/ -- --------------------------------- 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/

**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>

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

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