I am looking to do two things with a panel dataset of firm-year observations.
1. I would like to set the DealYear as the base period for the variable i.Year in the following regression and normalize the corresponding coefficient to zero. I am interested in the coefficients on the year dummy variables produced.
I understand the command for this if the base year is the same for all firms ie. if the base year = 2010 then we have:
Code:
xtreg investment ib2010.Year i.firmid, fe cluster(firmid)
2. I would like to set the omitted variable below to DealYear for the Year variable so as to include coefficients for (t-2*eba), (t-1*eba), (t+1*eba), (t+2*eba) etc - but not (t*eba) where t = DealYear. Again, given that the DealYear varies for each firm, I'm unsure how to incorporate this.
If the DealYear were constant across all firms, such as 2010, I would have:
Code:
xtreg investment i.eba##ib2010.Year, fe cluster(firmid)
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input float(firmid Year DealYear Investment eba) 1 2005 2006 4 0 1 2006 2006 9 0 1 2007 2006 1 0 1 2008 2006 3 0 1 2009 2006 1 0 1 2010 2006 7 0 1 2011 2006 7 0 1 2012 2006 4 0 2 2005 2009 3 1 2 2006 2009 4 1 2 2007 2009 6 1 2 2008 2009 7 1 2 2009 2009 4 1 2 2010 2009 2 1 2 2011 2009 5 1 2 2012 2009 7 1 3 2005 2009 3 1 3 2006 2009 5 1 3 2007 2009 2 1 3 2008 2009 1 1 3 2009 2009 1 1 3 2010 2009 4 1 3 2011 2009 5 1 3 2012 2009 6 1 4 2005 2011 7 0 4 2006 2011 3 0 4 2007 2011 8 0 4 2008 2011 4 0 4 2009 2011 7 0 4 2010 2011 8 0 4 2011 2011 3 0 4 2012 2011 2 0 5 2005 2009 5 1 5 2006 2009 8 1 5 2007 2009 3 1 5 2008 2009 3 1 5 2009 2009 9 1 5 2010 2009 9 1 5 2011 2009 1 1 5 2012 2009 7 1 6 2005 2006 4 1 6 2006 2006 9 1 6 2007 2006 1 1 6 2008 2006 3 1 6 2009 2006 1 1 6 2010 2006 7 1 6 2011 2006 7 1 6 2012 2006 4 1 7 2005 2008 3 1 7 2006 2008 4 1 7 2007 2008 6 1 7 2008 2008 7 1 7 2009 2008 4 1 7 2010 2008 2 1 7 2011 2008 5 1 7 2012 2008 7 1 8 2005 2007 3 1 8 2006 2007 5 1 8 2007 2007 2 1 8 2008 2007 1 1 8 2009 2007 1 1 8 2010 2007 4 1 8 2011 2007 5 1 8 2012 2007 6 1 9 2005 2011 7 0 9 2006 2011 3 0 9 2007 2011 8 0 9 2008 2011 4 0 9 2009 2011 7 0 9 2010 2011 8 0 9 2011 2011 3 0 9 2012 2011 2 0 10 2005 2010 5 1 10 2006 2010 8 1 10 2007 2010 3 1 10 2008 2010 3 1 10 2009 2010 9 1 10 2010 2010 9 1 10 2011 2010 1 1 10 2012 2010 7 1 end
0 Response to Choosing reference/base periods in panel data where the base period varies across firms
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