Hello Statalist! I'm doing the project about UIP(uncovered interest rate parity) and illiquidity risk and using fiscal shock as illiquidity's the instrument variable. Thus, I ran a TSLS regressions using STATA.
The data I process is the unbalanced data with id (countrypair group for exchange rate, 6 groups in total) and ym(year, month) where year from 2000-2015, but some from 2003-2015.
xtset id ym
panel variable: id (unbalanced)
time variable: ym, 480 to 690
delta: 1 unit
My regressions are shown as the following:
1st: xtreg illiquidity TFWDVP_SA l.abslibor bas i.ym, fe vce(robust)
2nd: xtivreg absy l.abslibor_1m bas i.ym (illiquidity=TFWDVP_SA i.ym), fe vce(robust)
whereTFWDVP_SA is the fiscal shock which is time series data, that is, for different countrypair at t they are invariant.
abslibor is a monthly libor rate; absy is the absolute value of return; bas is the bid-ask spread; i.ym is the time-fixed effect.
My question is:
If I put "i.ym" inside the parenthesis like: xtivreg absy l.abslibor_1m bas (illiquidity=TFWDVP_SA i.ym), fe vce(robust) , it will generate a different 1st stage result for the coefficient on illiquidity compared with putting "i.ym" outside of the parenthesis like: xtivreg absy l.abslibor_1m bas i.ym (illiquidity=TFWDVP_SA), fe vce(robust).
In addition, as shown in the attached pictures, xtivreg absy l.abslibor_1m bas (illiquidity=TFWDVP_SA i.ym), fe vce(robust) can get a significant coefficient for "illiquidity"; However, xtivreg absy l.abslibor_1m bas i.ym (illiquidity=TFWDVP_SA), fe vce(robust) get a "0" for "illiquidity" with omitted STD error.
I am confused about the results and why i.ym will lead to different results for inside and outside of the parenthesis. Is there a bug in Stata for causing this issue or other data issue?
Hope you can help me fix this problem. Thank you so much.
Related Posts with IV-panel-xtivreg: zero coefficient; time fixed effects
Interpretation of logistic regression of categorical variables with interactionGood morning! I am using a statewide dataset of adult inpatients with COVID-19 (n=18k+) to assess ra…
Problem with number of instrument with xtabond2Hello everyone, I am just new to managing panel series and I am working on the investigation of fina…
Necessary co-variate omitted due to collinearityHi everyone, I had a quick question. I am new to Stata, so please forgive me if this question seems…
Export adjusted ratios from dstdize commandDear all, Really appreciate if someone could kindly help me. I'm using Code: dstdize command to ca…
Retrieving data from online archive database and making it ready for STATA (CEDA Archive database) THERE MUST BE SOMEONE HERE WHO IS ABLE TO DO THIS Hi everyone, I'm in a bit of a pickle. I have …
Subscribe to:
Post Comments (Atom)
0 Response to IV-panel-xtivreg: zero coefficient; time fixed effects
Post a Comment