Hi everyone,
I am new to Stata and am currently studying the effect of CSR on daily returns during a stock market crash. My dataset consists of 50 firms (I assume that my number of firms is still too small and I will need to increase my sample) over the time period of 35 days. This means that my independent variable changes daily but CSR doesn't and also some firm sepcific accounting data, which are used as control variables, are time invariant. I also wanted to include industry dummies to control for effects in different industries during the crash.
Now, I know that I cannot use xtreg, fe since all time invariant variables will be ommitted. Does this mean that my only solution is to apply a random effects model? Can I still incorporate industy dummies in this model? If so, how?
Thank you in advance, I really appreciate your help.
Related Posts with Panel Data with Time invariant variables
Command for Calculating the Average for 7 days periods in Panel DataDear Stata Specialists, I have a daily panel data from 01/01/2012 to 12/31/2017 with 10 different r…
Multicollinearity - Lagged Independent VariableI am assessing the impact of economic sanctions on the five major components of GDP (imports, export…
Frequency table combining variable valuesHi, I have a dataset that looks as follows: input float id long spec2010 str7 y2010 long spec2011 …
Sudden r(608) error in a loop (file cannot be modified)Hello, I have encountered a strange problem (at least for me). I run a loop of the following form t…
Generting a variable that counts consecutive observations within personHello, I am trying to identify when an individual has at least15 consecutive months of insurance eli…
Subscribe to:
Post Comments (Atom)
0 Response to Panel Data with Time invariant variables
Post a Comment