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| From | Islam Abdeljawad <islamabdeljawad@yahoo.com> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | Re: st: Fama-MacBeth regression |
| Date | Sun, 14 Aug 2011 07:50:08 -0700 (PDT) |
Thanks a lot. simple trick ----- Original Message ----- > From: Sami Alameen <samialameen@gmail.com> > To: statalist@hsphsun2.harvard.edu > Cc: > Sent: Sunday, August 14, 2011 8:33 PM > Subject: Re: st: Fama-MacBeth regression > > Assuming the model is justified: > > Just create a lagged dependent variable and include it in the regression > > use grunfeld > xtset company year > by company: gen l_invest=invest[_n-1] > > xtfmb invest l_invest kstock mvalue > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/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/statalist/faq * http://www.ats.ucla.edu/stat/stata/