Dear all,
I have a question regarding a cross-sectional multivariate regression
with panal data (see below). My dependent variable is CAR1. I have
about 10 independent variables (not shown in the data set below).
I need to control for years and sectors (my data contains 10 years and
about 30 different sectors) in the regression. Sectors repeat multiple
times in the same year. I would like to know which method would be
best/ appropriate to run a regression on such a panel data set?
I have used sectors and years as dummies, however I would like know
wether there are any other options:
xi: reg CAR1 INSIDER_B INSIDER_C INSIDER_D MULTIPLE_TRADE
TRANSACTION_SIZE FIRM_SIZE i.sector i.year, robust
I understand "xtreg" to be an alternative to the above approach. Is
this correct? Is it possible to use xtreg with my "repeated time
variable" data set?
To sum it up, my question is how can I run the below regression in
such a way that years and sectors are "reflected" correctly? Any
comments would help!
CAR1 year sector gvkey MULTIPLE_TRADE
.
.
.
0.0186186 2007 30 220550 0
0.0280388 2007 30 237421 0
0.1256196 2008 15 271390 0
0.0590132 2008 15 282561 1
0.0292866 2008 15 281720 0
0.0054281 2008 15 277495 0
0.1226206 2008 15 272627 0
0.0073848 2008 30 271598 1
0.0105465 2008 30 271390 0
0.2073587 2008 30 277495 0
0.0201788 2008 30 277495 0
.
.
.
Many thanks.
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