Hi all,
I am sorry if this topic has been covered before. However, I did my research but failed.


I am working on a paper where I want to estimate the effect of a green bond issuance on specific variables, such as ESG score and CO2 emmission. For this I gatherd a database with firms that issued a green bond and I matched each green bond issuer with a similar firm that issued a bond in the same year but not a green bond.

In simple, my dataset now looks like this:

Year ID Country Industry GB issuer ESG score Co2 Issue date
2015 1 1 1 1 75 80 2016
2016 1 1 1 1 80 75 2016
2017 1 1 1 1 85 75 2016
2015 2 2 2 0 60 70 -
2016 2 2 2 0 65 70 -
2017 2 2 2 0 65 80 -
2015 3 1 1 0 75 90 -
2016 3 1 1 0 60 75 -
2017 3 1 1 0 55 60 -
2015 4 2 2 1 80 40 2017
2016 4 2 2 1 90 30 2017
2017 4 2 2 1 95 20 2017
2018 4 2 2 1 99 10 2017


I want to use a difference in difference specification with the following regressions:

Code:
ESG score it = αi + αc* αt + αs*αt +  β *green bond
i stands for firm and t for years.

where αi stands for fixed firm effects,
αc* αt stands for country by year fixed effects.
αs*αt stands for industry by year fixed effects
β is the dummy variable for GB issuer and should measure the effect of the GB issuance.

Now I tried to generate year dummies, which should be equal to 1 after the issuance of the GB, but I couldnt figure it out. Since the dependent variable then becomes the year dummy? ( e.g. measure the ESG score at 2015 for either a GB issuer and a normal bond issuer)

Could anybody help me with running this regression in stata?

many thanks,

Peter