I am interested in estimating impulse response function in stata (VAR). Basically I am trying to estimate the marginal probability of rain in a county changes in response to the occurence of rain in the same county at some point in time (one, two, three or four quarters ago).
I have a county-year-quarter panel and I am trying to estimate the probability of rain (binary 0 and 1 variable).
Here is the Model I am Interested in:
Dependent variable Rain (0 or 1 for the county)
Independent Variable Rain_lag1- is a dummy equal to one if the county was rain one quarter ago
Independent Variable Rain_lag2- is a dummy equal to one if the county was rain two quarter ago
Independent Variable Rain_lag3- is a dummy equal to one if in the county was rain three quarter ago
Independent Variable Rain_lag4 - is a dummy equal to one if in the county was rain four quarter ago
I am aware that there are VAR in stata.
HTML Code:
https://blog.stata.com/2016/08/09/vector-autoregressions-in-stata/
Also do I need time fixed effects and county-quarter fixed effects?
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input double(county year qtr qn rain) 46119 2006 3 200603 0 22053 2010 3 201003 0 51105 2003 4 200304 0 51165 2012 1 201201 0 31133 2005 4 200504 0 48009 2002 2 200202 0 20061 2016 1 201601 0 30083 2006 2 200602 0 12125 2015 1 201501 0 21033 2014 3 201403 0 21151 2008 4 200804 0 46053 2017 3 201703 0 47121 2007 4 200704 0 48207 2017 1 201701 0 42101 2017 2 201702 0 29021 2012 1 201201 0 13237 2014 3 201403 0 13021 2014 1 201401 0 55005 2007 2 200702 0 40011 2004 3 200403 0 51595 2013 3 201303 0 46127 2004 3 200403 0 38037 2017 1 201701 0 31129 2004 4 200404 0 18025 2010 1 201001 0 13173 2017 1 201701 0 12121 2011 2 201102 0 18121 2012 4 201204 0 39069 2009 4 200904 0 36081 2013 3 201303 0 51620 2004 2 200402 0 12011 2016 3 201603 0 26003 2002 1 200201 0 17197 2017 2 201702 0 54045 2010 4 201004 0 38067 2011 4 201104 0 37117 2008 2 200802 0 22037 2016 4 201604 0 2150 2012 2 201202 0 47049 2017 3 201703 0 31057 2011 3 201103 0 39127 2006 4 200604 0 48137 2012 3 201203 0 72061 2005 3 200503 0 21007 2008 1 200801 0 40131 2011 2 201102 0 26113 2016 2 201602 0 18007 2017 4 201704 0 24510 2002 1 200201 0 48123 2013 4 201304 0 17181 2005 3 200503 0 18151 2002 3 200203 0 27063 2009 2 200902 0 23021 2003 4 200304 0 20037 2013 4 201304 0 48395 2005 4 200504 0 48155 2004 3 200403 0 4007 2017 3 201703 0 19127 2014 4 201404 0 36091 2015 3 201503 0 20093 2012 2 201202 0 17019 2002 3 200203 0 37141 2009 1 200901 0 46085 2015 4 201504 0 55109 2012 3 201203 0 19027 2012 3 201203 0 21061 2014 4 201404 0 47051 2003 4 200304 0 1075 2008 3 200803 0 19169 2008 4 200804 0 6079 2009 4 200904 0 47185 2010 2 201002 0 72137 2015 4 201504 0 31077 2007 3 200703 0 38001 2011 3 201103 0 37197 2011 1 201101 0 5021 2010 2 201002 0 55087 2011 1 201101 0 54087 2006 1 200601 0 47099 2010 4 201004 0 40137 2007 4 200704 0 29017 2008 4 200804 0 29101 2005 2 200502 0 29041 2013 1 201301 0 48055 2016 4 201604 0 72111 2013 2 201302 0 21147 2008 3 200803 1 12047 2006 1 200601 0 51720 2006 2 200602 0 29049 2002 1 200201 0 13223 2012 2 201202 0 47013 2012 4 201204 0 21061 2002 4 200204 0 42009 2002 1 200201 0 49023 2009 4 200904 0 5081 2004 4 200404 0 26037 2007 1 200701 0 51770 2012 2 201202 0 48209 2014 4 201404 0 37141 2006 1 200601 0 end
0 Response to Vector Autoregression in Stata When the Dependent Variable is Binary Logit Model
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