Sorry, the description of my question is not clear. Let me rephrase my
question:
My panel data is composed of bond issues of thousands of firms over more
than 10 years. My goal is:
(1) Get the means (medians) of several firm-level variables (V1 to V5)
prior to bond issues and post bond issues, i.e., to get the means
(medians) of V1 to V5 for years -2 to +2 relative to bond issues, and
then
(2) test whether they are significantly different from zero or not in
each year,
(3) test if they change significantly from t-1 to t, from t to t+1.
I would like to present the results in the following format:
Year -2 -1 0 1
2
V1 mean mean mean mean
mean
(t-statistics) (t-statistics) (t-statistics) (t-statistics)
(t-statistics)
V2 mean mean mean mean
mean
(t-statistics) (t-statistics) (t-statistics) (t-statistics)
(t-statistics)
V3 mean mean mean mean
mean
(t-statistics) (t-statistics) (t-statistics) (t-statistics)
(t-statistics)
V4 mean mean mean mean
mean
(t-statistics) (t-statistics) (t-statistics) (t-statistics)
(t-statistics)
V5 mean mean mean mean
mean
(t-statistics) (t-statistics) (t-statistics) (t-statistics)
(t-statistics)
Thank you,
Wenxia
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Nick Cox
Sent: Tuesday, September 02, 2008 12:42 PM
To: [email protected]
Subject: st: RE: changes of variables over time in panel data
I don't think you give us any clue on what your goal is, precisely. To
look at changes? That seems to be what all studies of panel data should
do.
To get a better answer than this, you may need to ask a better question.
Otherwise I am reduced to anodyne advice, such as plot your data and
think about building a model.
Nick
[email protected]
Wen Xia Ge
My panel data is composed of bond issues of thousands of firms over more
than 10 years. I want to look at the changes of several firm-level
variables prior to bond issues and post bond issues, that is, I want to
look at the changes of several firm-level variables in year t-2, t-1, t,
t+1 and t+2, where bond issues are in year t.
I know we can generate lagged variables (one year lag or two year lag)
in STATA, but I have no clue how to achieve the above goal. Any
suggestions?
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