I have a coding problem regarding predicting constant from the fixed-effect regression model, I follow the model specification as in one of the articles, it states as follows:
Array
Which as it described in the model, I need to include both year fixed-effect and firm fixed-effect，while at the same time I have to include the lag term of R. I have tried to use the -xtreg- command, but I have no idea how to store or predict the constant after the results?
So my question is:
Can I obtain constant from the command -xtreg-
Do I have to write a loop to obtain the constant of this regression?
Or I have to use other commands such as -asreg-?
But if I use -asreg- , how can I include the year fixed-effect and firm fixed-effect?
FYI, here is my Stata code atm:
Code:
xtset permno year xtreg M2B l6.R l5.R l4.R l3.R l2.R l.R R i.year, fe r
Peter
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