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From |
John Litfiba <cariboupad@gmx.fr> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Interpreting a regression equation... |

Date |
Thu, 22 Dec 2011 05:44:46 +0100 |

Dear Statalist, I have a very simple question, but I would like to be sure... I have a panel database, with repeated time values within the panel : that is for example, individual i has many outcome values on the same day t. That is, I cannot really write the model as (1) Yits= constant +Alpha*Zi + beta* Xtc + gamma*BEFORE +eits where Y is a financial return and X is the regressor which depends on the stock S, Z is a regressor which depends on individual i, s is the stock, e is the random noise and i indicates individual i, and BEFORE is a dummy which equals 1 if day >01/01/2010 for instance I cannot write it like that because if t represents a day (which is the smallest time unit that I can have) then for the same day it can happen that the same individual i trade on the same stock s However, Stata does not understand the meaning of t (day), so my question would be : im I correct to write the following Stata command to estimate my model ? regress Y Z X BEFORE, cluster(id) And is (1) conceptually equivalent to (2) Yins= constant +Alpha*Zi + beta* Xnc + gamma*BEFORE +enis where n simply indicates the nth line in my database ? Of course the dummy "before" willl still separate between those trades before and after 01/01/2010 Moreover, let assume that now I run a fixed effects estimation, indicating that id is the clustering variable for standard errors : xtset id xtreg Y Z X BEFORE, fe cluster(id) In my model my errors have also a s (stock) subscript mainly because one of the regressors (X) depend on the particular stock traded on day t... what is the interpretation of the correction that I make with such 3way standands errors? Standards errors are corrected for any correlation wthin an individual ... However if I fix a stock s, then (eits) are independent for any i and any t ? I hope that I have been clear enough... Many, many thanks for your help * * 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/

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