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Thomas said:
I am trying to use sureg on a dataset of approximately 50 firms with
900 trading days of observations:
. xtset
panel variable: CompanyNum (strongly balanced)
time variable: TradeDateNum, 501 to 1402
delta: 1 unit
I keep only the necessary variables:
. keep TradeDateNum CompanyNum LnRt*
and reshape from long to wide for the company specific variables:
. reshape wide LnRtFiveYrMid LnRtStock, i(TradeDateNum) j(CompanyNum)
(note: j = 1 2 3 4 5 6 8 9 10 11 12 13 14 15 16 17 18 19 20 22 23 24
25 26 27 28 29 30 32 33
> 34 35 36 37 38 39 40 41 43 44 45 46 47 48 49 50 51 52 53 54 55 56
57)
Data long -> wide
-----------------------------------------------------------------------------
Number of obs. 47806 -> 902
Number of variables 10 -> 113
j variable (53 values) CompanyNum -> (dropped)
xij variables:
LnRtFiveYrMid -> LnRtFiveYrMid1
LnRtFiveYrMid2 ... LnRtFiveYrM
> id57
LnRtStock -> LnRtStock1 LnRtStock2
... LnRtStock57
-----------------------------------------------------------------------------
I then attempt to execute sureg on my current pooled OLS specification
for just two firms:
. sureg (LnRtFiveYrMid1 L(1/2).LnRtFiveYrMid1 L(0/4).LnRtCDX LnRtCMT
LnRtTED L(0/2).LnRtStoc
> k1) (LnRtFiveYrMid2 L(1/2).LnRtFiveYrMid2 L(0/4).LnRtCDX LnRtCMT
LnRtTED L(0/2).LnRtStock2
> )
variable CompanyNum not found
and I get the error CompanyNum (the dropped variable after reshaping
to wide) not found. So far, the only way it will run is if I exclude
time series operators:
. sureg (LnRtFiveYrMid1 LnRtCDX LnRtCMT LnRtTED LnRtStock1)
(LnRtFiveYrMid2 LnRtCDX LnRtCMT
> LnRtTED LnRtStock2)
Seemingly unrelated regression
----------------------------------------------------------------------
Equation Obs Parms RMSE "R-sq" chi2 P
----------------------------------------------------------------------
LnRtFiveY~d1 887 4 .0453147 0.1464 152.27 0.0000
LnRtFiveY~d2 887 4 .0479444 0.0777 74.68 0.0000
----------------------------------------------------------------------
------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------
+----------------------------------------------------------------
LnRtFiveY~d1 |
LnRtCDX | .5369359 .054891 9.78 0.000 .
4293515 .6445204
LnRtCMT | -.3181771 .0979303 -3.25 0.001 -.5101169
-.1262374
LnRtTED | -.0106727 .0188642 -0.57 0.572 -.
0476459 .0263005
LnRtStock1 | .0629164 .1021791 0.62 0.538 -.
1373509 .2631838
_cons | -.0006975 .0015239 -0.46 0.647 -.
0036843 .0022893
-------------
+----------------------------------------------------------------
LnRtFiveY~d2 |
LnRtCDX | .362548 .0568002 6.38 0.000 .
2512216 .4738745
LnRtCMT | -.3034092 .1032472 -2.94 0.003 -.5057699
-.1010485
LnRtTED | -.0484131 .019944 -2.43 0.015 -.0875027
-.0093235
LnRtStock2 | -.0617068 .0777801 -0.79 0.428 -.
214153 .0907394
_cons | -.0000496 .0016117 -0.03 0.975 -.
0032085 .0031093
------------------------------------------------------------------------------
Does sureg prevent the use of time series operators? If so, am I best
to manually generate all the lags before reshaping or after? Any
other suggestions? Thanks.
The problem is that -tsset- (or -xtset-) remembers how your original
long-format data were defined, in terms of CompanyNum and
TradeDateNum. -sureg- is happy to accept timeseries operators, as -
help sureg- indicates. But you must after using -reshape- reestablish
the -tsset-, which will now be just
tsset TradeDateNum
as what you have now is a pure timeseries dataset. Then you should be
able to give the -sureg- command.
As you have 57 equations to specify, I suggest you use a -local- and a
-forvalues- loop over company numbers to build up the equation list.
For instance, as a simplified example,
local eqlist
forv i = 1/57 {
local eqlist "`eqlist' (LnRtFiveYrMid`i' LnRtCDX LnRtCMT LnRtTED
LnRtStock`i')"
}
Just make sure you never use an equals sign in this local statement.
You can then say
sureg `eqlist'
and go have a cup of coffee.
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
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