I am hopeful that you help me on this one as you did before.
I have a mistake in my code but cannot spot it.
I have a panel dataset that consists of 48 quarters from 31/12/2007 till 30/09/2019 and 28 countries.
There is a reform that took place in the beginning of 2015 concerning 19 countries and I would like to see its impact. I implemented difference in difference.
The panel is collapsed as it was not tabular, and xtset by country and time
I created a Period variable which will take 1 for all quarters starting from 1st quarter in 2015 and 0 before.
Code:
generate Period = 0 if (new_timeperiodorrange==1 | new_timeperiodorrange==2 | new_timeperiodorrange==3 | new_timeperiodorrange==4 | new_timeperiodorrange==5 | new_timeperiodorrange==6 | new_timeperiodorrange==7 | new_timeperiodorrange==8 | new_timeperiodorrange==13 | new_timeperiodorrange==14 | new_timeperiodorrange==15 | new_timeperiodorrange==16 | new_timeperiodorrange==17 | new_timeperiodorrange==18 | new_timeperiodorrange==19 | new_timeperiodorrange==25 | new_timeperiodorrange==26 | new_timeperiodorrange==27 | new_timeperiodorrange==28 | new_timeperiodorrange==29 | new_timeperiodorrange==30 | new_timeperiodorrange==31 | new_timeperiodorrange==37 | new_timeperiodorrange==38 | new_timeperiodorrange==39 | new_timeperiodorrange==40 | new_timeperiodorrange==41 | new_timeperiodorrange==42 | new_timeperiodorrange==43) replace Period = 1 if (new_timeperiodorrange==9 | new_timeperiodorrange==10 | new_timeperiodorrange==11 | new_timeperiodorrange==12 | new_timeperiodorrange==20 | new_timeperiodorrange==21 | new_timeperiodorrange==22 | new_timeperiodorrange==23 | new_timeperiodorrange==24 | new_timeperiodorrange==32 | new_timeperiodorrange==33 | new_timeperiodorrange==34 | new_timeperiodorrange==35 | new_timeperiodorrange==36 | new_timeperiodorrange==44 | new_timeperiodorrange==45 | new_timeperiodorrange==46 | new_timeperiodorrange==47 | new_timeperiodorrange==48)
Code:
generate treat=1 if ((new_referencearea==1 | new_referencearea==3 | new_referencearea==5 | new_referencearea==7 | new_referencearea==9 | new_referencearea==10 | new_referencearea==11 | new_referencearea==12 | new_referencearea==14 | new_referencearea==17 | new_referencearea==18 | new_referencearea==19 | new_referencearea==20 | new_referencearea==21 | new_referencearea==22 | new_referencearea==23 | new_referencearea==25 | new_referencearea==28 | new_referencearea==29) & (new_timeperiodorrange==9 | new_timeperiodorrange==10 | new_timeperiodorrange==11 | new_timeperiodorrange==12 | new_timeperiodorrange==20 | new_timeperiodorrange==21 | new_timeperiodorrange==22 | new_timeperiodorrange==23 | new_timeperiodorrange==24 | new_timeperiodorrange==32 | new_timeperiodorrange==33 | new_timeperiodorrange==34 | new_timeperiodorrange==35 | new_timeperiodorrange==36 | new_timeperiodorrange==44 | new_timeperiodorrange==45 | new_timeperiodorrange==46 | new_timeperiodorrange==47 | new_timeperiodorrange==48)) replace treat=0 if ((new_referencearea==4 | new_referencearea==6 | new_referencearea==8 | new_referencearea==13 | new_referencearea==15 | new_referencearea==16 | new_referencearea==24 | new_referencearea==26 | new_referencearea==27) & (new_timeperiodorrange==9 | new_timeperiodorrange==10 | new_timeperiodorrange==11 | new_timeperiodorrange==12 | new_timeperiodorrange==20 | new_timeperiodorrange==21 | new_timeperiodorrange==22 | new_timeperiodorrange==23 | new_timeperiodorrange==24 | new_timeperiodorrange==32 | new_timeperiodorrange==33 | new_timeperiodorrange==34 | new_timeperiodorrange==35 | new_timeperiodorrange==36 | new_timeperiodorrange==44 | new_timeperiodorrange==45 | new_timeperiodorrange==46 | new_timeperiodorrange==47 | new_timeperiodorrange==48))
Code:
generate Period_treat = Period*treat
I understand that in FE model time invariant variables (treat) are omitted but Period should not be omitted. I tried also to run the model without FE and still Period and treat are omitted, which means there is a problem in my code. I tried different definitions for Period and treat but still the problem persists. Also, tried the interaction term between Period and treat and it is also omitted.
Can someone please help me identify the mistake?
Code:
. reg I3631_Coverage_ratio_A Period_treat Period treat A1100_Loans_and_advances_A Total_Liabi
> lities_A ROE_A ROA_A Debt_Securities_A Total_Assets_A i.new_referencearea i.Time, vce (c
> luster new_referencearea)
note: Period omitted because of collinearity
note: treat omitted because of collinearity
note: 27.new_referencearea omitted because of collinearity
Linear regression Number of obs = 439
F(23, 26) = .
Prob > F = .
R-squared = 0.8242
Root MSE = 4.7736
(Std. Err. adjusted for 27 clusters in new_referencearea)
--------------------------------------------------------------------------------------------
| Robust
I3631_Coverage_ratio_A | Coef. Std. Err. t P>|t| [95% Conf. Interval]
---------------------------+----------------------------------------------------------------
Period_treat | 26.40972 2.225921 11.86 0.000 21.83428 30.98517
Period | 0 (omitted)
treat | 0 (omitted)
A1100_Loans_and_advances_A | -3.50e-09 5.35e-09 -0.65 0.519 -1.45e-08 7.50e-09
Total_Liabilities_A | 1.69e-08 5.15e-09 3.28 0.003 6.30e-09 2.75e-08
ROE_A | -.5932689 .63963 -0.93 0.362 -1.908047 .7215094
ROA_A | 7.931393 7.675989 1.03 0.311 -7.846828 23.70961
Debt_Securities_A | -1.40e-07 9.69e-07 -0.14 0.887 -2.13e-06 1.85e-06
Total_Assets_A | -1.41e-08 3.31e-09 -4.25 0.000 -2.09e-08 -7.26e-09
|
new_referencearea |
BE (Belgium) | -7.546097 1.336614 -5.65 0.000 -10.29355 -4.798648
BG (Bulgaria) | 13.71833 4.52217 3.03 0.005 4.422876 23.01378
CY (Cyprus) | -14.18068 1.913676 -7.41 0.000 -18.1143 -10.24706
CZ (Czech Republic) | -.4291531 3.955256 -0.11 0.914 -8.559298 7.700992
DE (Germany) | 19.77372 14.2343 1.39 0.177 -9.485312 49.03275
DK (Denmark) | 5.143016 1.794059 2.87 0.008 1.455275 8.830757
EE (Estonia) | -17.55299 3.769838 -4.66 0.000 -25.302 -9.803979
ES (Spain) | -7.536704 6.426752 -1.17 0.252 -20.74708 5.673674
FI (Finland) | -25.23638 1.295194 -19.48 0.000 -27.89869 -22.57407
FR (France) | -.4810713 13.30886 -0.04 0.971 -27.83782 26.87568
GB (United Kingdom) | 7.91004 10.90463 0.73 0.475 -14.50475 30.32483
GR (Greece) | -6.705464 1.67177 -4.01 0.000 -10.14184 -3.269091
HR (Croatia) | 28.96351 4.162181 6.96 0.000 20.40803 37.519
HU (Hungary) | 32.64777 5.624505 5.80 0.000 21.08643 44.2091
IE (Ireland) | -18.67331 1.94267 -9.61 0.000 -22.66652 -14.68009
IT (Italy) | -3.835743 4.010677 -0.96 0.348 -12.07981 4.408321
LU (Luxembourg) | -21.76652 2.13112 -10.21 0.000 -26.1471 -17.38594
LV (Latvia) | -23.35435 2.372446 -9.84 0.000 -28.23098 -18.47772
MT (Malta) | -17.25479 2.264214 -7.62 0.000 -21.90895 -12.60063
NL (Netherlands) | -20.52507 4.889536 -4.20 0.000 -30.57566 -10.47449
PL (Poland) | 21.50341 3.829923 5.61 0.000 13.63089 29.37593
PT (Portugal) | -8.446582 1.725781 -4.89 0.000 -11.99397 -4.899189
RO (Romania) | 16.57896 4.650007 3.57 0.001 7.020738 26.13719
SE (Sweden) | 0 (omitted)
SI (Slovenia) | 1.911455 2.98924 0.64 0.528 -4.233016 8.055926
SK (Slovakia) | 2.865127 2.410635 1.19 0.245 -2.090004 7.820259
|
Time |
20269 | .3252497 .5347412 0.61 0.548 -.7739265 1.424426
20361 | .7219141 .8502811 0.85 0.404 -1.025864 2.469692
20453 | 1.384325 .9931123 1.39 0.175 -.6570464 3.425697
20544 | 1.352453 1.319414 1.03 0.315 -1.359641 4.064547
20635 | 1.510416 1.670778 0.90 0.374 -1.923918 4.94475
20727 | 1.122131 1.624416 0.69 0.496 -2.216904 4.461165
20819 | 1.214823 1.790773 0.68 0.504 -2.466163 4.89581
20909 | 1.783342 1.669986 1.07 0.295 -1.649363 5.216047
21000 | 1.864331 1.847858 1.01 0.322 -1.933996 5.662657
21092 | 2.21565 1.870559 1.18 0.247 -1.629339 6.060639
21184 | .0140313 2.475975 0.01 0.996 -5.075408 5.10347
21274 | 2.175613 2.479799 0.88 0.388 -2.921686 7.272912
21365 | .9468819 2.349925 0.40 0.690 -3.883458 5.777222
21457 | 1.095093 2.686052 0.41 0.687 -4.426166 6.616352
21549 | 1.154285 2.819219 0.41 0.686 -4.640704 6.949273
21639 | 2.131911 2.479525 0.86 0.398 -2.964825 7.228647
21730 | 1.833592 2.578084 0.71 0.483 -3.465735 7.132918
21822 | 1.580083 2.568156 0.62 0.544 -3.698837 6.859003
|
_cons | 27.77395 4.20707 6.60 0.000 19.12619 36.4217
--------------------------------------------------------------------------------------------Code:
. reg I3631_Coverage_ratio_A Period##treat Period treat A1100_Loans_and_advances_A Total_Liab
> ilities_A ROE_A ROA_A Debt_Securities_A Total_Assets_A i.new_referencearea i.Time, vce (
> cluster new_referencearea)
note: 1.Period omitted because of collinearity
note: 1.Period#1.treat omitted because of collinearity
note: Period omitted because of collinearity
note: treat omitted because of collinearity
note: 27.new_referencearea omitted because of collinearity
Linear regression Number of obs = 439
F(23, 26) = .
Prob > F = .
R-squared = 0.8242
Root MSE = 4.7736
(Std. Err. adjusted for 27 clusters in new_referencearea)
--------------------------------------------------------------------------------------------
| Robust
I3631_Coverage_ratio_A | Coef. Std. Err. t P>|t| [95% Conf. Interval]
---------------------------+----------------------------------------------------------------
1.Period | 0 (omitted)
1.treat | 26.40972 2.225921 11.86 0.000 21.83428 30.98517
|
Period#treat |
1 1 | 0 (omitted)
|
Period | 0 (omitted)
treat | 0 (omitted)
A1100_Loans_and_advances_A | -3.50e-09 5.35e-09 -0.65 0.519 -1.45e-08 7.50e-09
Total_Liabilities_A | 1.69e-08 5.15e-09 3.28 0.003 6.30e-09 2.75e-08
ROE_A | -.5932689 .63963 -0.93 0.362 -1.908047 .7215094
ROA_A | 7.931393 7.675989 1.03 0.311 -7.846828 23.70961
Debt_Securities_A | -1.40e-07 9.69e-07 -0.14 0.887 -2.13e-06 1.85e-06
Total_Assets_A | -1.41e-08 3.31e-09 -4.25 0.000 -2.09e-08 -7.26e-09
|
new_referencearea |
BE (Belgium) | -7.546097 1.336614 -5.65 0.000 -10.29355 -4.798648
BG (Bulgaria) | 13.71833 4.52217 3.03 0.005 4.422876 23.01378
CY (Cyprus) | -14.18068 1.913676 -7.41 0.000 -18.1143 -10.24706
--more--Best regards,
Lydia Gad
0 Response to Treatment and Period omitted because of collinearity (DiD)
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