Hi All,
I'm working on trying to get the results from the following regression which is a formula used in previous research;
Rt = β0 +β11(rt > 0)rt +β21(rt < 0)rt +t
where 1(·) is an indicator function to differentiate between positive and negative changes in rt
However I'm struggling because trying to use STATA's indicator function only supports dummy variables and that is not what I am trying to achieve as the rt does not only have a value of 1 or 0.
I have also split up the variable rt into 2 variables depending on if rt <0 or >0 but when I try to regress Rt on these 2 variables there are no overlapping observations so the regress function does not work.
Would you have any advice on how to run the regression above?
Many thanks,
Joris
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