I am currently sitting on an understanding issue. I want to hold my regression for monthly date fix.
I use the following code:
Code:
xtset company modate xtreg rirf zdeals cdo i.modate, fe vce(cluster company)
However, is this the right way to hold for monthly fix or do I need to set it up something like this
Code:
xtset company modate xtreg rirf zdeals cdo i.month, fe vce(cluster company)
My Data looks like this
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input byte fintech float(modate zdeals) double mktrf byte(company cdo) float(month rirf zdealscdo) 1 625 -.9097333 5.423465823376711 1 1 2 6.087671 -.9097333 1 626 -.681587 -1.535614543637456 1 1 3 1.4377487 -.681587 1 627 -.7956602 1.820664480585781 1 1 4 1.6504712 -.7956602 1 628 -.9097333 -11.16581611074039 1 1 5 -12.114104 -.9097333 1 629 -.9097333 6.186169449456423 1 1 6 12.190808 -.9097333 1 630 -.9097333 1.412244213720733 1 1 7 -4.972528 -.9097333 1 631 -.5675139 3.164426696734882 1 1 8 4.917805 -.5675139 1 632 -1.1378796 2.535894143293762 1 1 9 6.510133 -1.1378796 1 633 -1.0238065 .1733146414328417 1 1 10 6.899674 -1.0238065 1 634 -1.0238065 .4869778359516951 1 1 11 4.175822 -1.0238065 1 635 -.4534408 1.71455311626784 1 1 12 2.8711524 -.4534408 1 636 -.9097333 2.881624585225847 1 1 1 8.031503 -.9097333 1 637 -.9097333 -2.422422854031386 1 1 2 -2.3237028 -.9097333 1 638 -.9097333 2.291088012456323 1 1 3 -2.348695 -.9097333 1 639 -.9097333 2.55111964290022 1 1 4 2.61446 -.9097333 1 640 -.7956602 -.3282772939126765 1 1 5 1.3528867 -.7956602 0 641 -.11122131 -5.215353268857719 1 1 6 -6.042301 -.11122131 1 642 -.22529446 6.373419662957986 1 1 7 9.572143 -.22529446 1 643 -.7956602 1.35546086185017 1 1 8 -6.926646 -.7956602 1 644 -.5675139 4.908637669124174 1 1 9 3.6370144 -.5675139 1 645 -.7956602 3.389633878892556 1 1 10 1.9880623 -.7956602 1 646 -.22529446 1.137170013494472 1 1 11 1.899806 -.22529446 1 647 -.681587 2.963653535733998 1 1 12 -1.8031834 -.681587 1 648 .11692497 -3.890885737730981 1 1 1 -6.104285 .11692497 1 649 -.5675139 8.23975345819777 1 1 2 2.373815 -.5675139 1 650 .11692497 -3.139740083406342 1 1 3 -2.2344146 .11692497 1 651 -.3393676 3.529635482257981 1 1 4 .6857252 -.3393676 1 652 -.7956602 .0061039720005996 1 1 5 4.4270663 -.7956602 1 653 .4591444 .9713370371937565 1 1 6 -3.979814 .4591444 1 654 -.22529446 -2.454856568847279 1 1 7 5.949186 -.22529446 1 655 -.5675139 .3703227976121503 1 1 8 1.68683 -.5675139 1 656 -.4534408 -5.651307857986811 1 1 9 -6.303838 -.4534408 1 657 .0028518285 -2.931640582667906 1 1 10 1.7595673 .0028518285 0 658 -.681587 .795269560694315 1 1 11 -2.540254 -.681587 1 659 -.11122131 -2.275725887171038 1 1 12 -4.903257 -.11122131 1 660 -.22529446 -1.095126202174831 1 1 1 -3.550321 -.22529446 1 661 -.4534408 7.308772758403578 1 1 2 -2.592427 -.4534408 1 662 -.3393676 -6.830832724400227 1 1 3 -2.3304307 -.3393676 1 663 .5732176 7.510445075202272 1 1 4 16.84458 .5732176 1 664 -.22529446 .4179245193042307 1 1 5 -3.6498814 -.22529446 1 665 .2309981 -3.332705799761425 1 1 6 -5.687866 .2309981 1 666 .2309981 .5458590972385735 1 1 7 .8527115 .2309981 1 667 -.11122131 -6.677909866827684 1 1 8 -10.85039 -.11122131 1 668 -.11122131 -4.708917819914864 1 1 9 -5.354208 -.11122131 1 669 -.11122131 6.458271024815713 1 1 10 5.073513 -.11122131 0 670 .11692497 -2.414133757727071 1 1 11 1.6250218 .11692497 1 671 .4591444 -3.446910622000012 1 1 12 -.8892289 .4591444 1 672 .11692497 -5.275597882360379 1 1 1 -11.684743 .11692497 1 673 .3450713 .5066665751035179 1 1 2 -8.309761 .3450713 1 674 .6872907 5.741306038962422 1 1 3 .5252813 .6872907 0 675 -.4534408 2.791006199625206 1 1 4 6.250824 -.4534408 1 676 .5732176 -.2410533711039446 1 1 5 -.7456102 .5732176 1 677 .2309981 -3.660051047326899 1 1 6 -3.887061 .2309981 1 678 .6872907 3.162686339794692 1 1 7 5.515573 .6872907 1 679 .3450713 -.2256542228468195 1 1 8 14.003398 .3450713 1 680 1.0295101 .7916563646363125 1 1 9 1.700826 1.0295101 1 681 .6872907 -6.234801490421922 1 1 10 1.3804516 .6872907 1 682 -.4534408 -.6740285016359504 1 1 11 5.473505 -.4534408 1 683 .2309981 3.750327132390216 1 1 12 2.302256 .2309981 1 684 2.2843146 1.88845282151261 1 1 1 4.824042 2.2843146 1 685 .0028518285 3.012971650151111 1 1 2 -3.046881 .0028518285 1 686 .915437 1.896847085249752 1 1 3 1.1600258 .915437 1 687 .8013638 2.56877228764926 1 1 4 1.167601 .8013638 1 688 .0028518285 4.606547552317522 1 1 5 7.133211 .0028518285 1 689 1.713949 -3.036390515438898 1 1 6 5.989054 1.713949 1 690 1.0295101 1.577754876582696 1 1 7 7.943089 1.0295101 1 691 .8013638 -.0629860039698094 1 1 8 -2.1494107 .8013638 1 692 .8013638 3.640777299761977 1 1 9 2.2535782 .8013638 1 693 1.2576565 1.255204239825658 1 1 10 -.4181632 1.2576565 1 694 1.828022 -.6738529348441805 1 1 11 1.8486238 1.828022 1 695 1.2576565 4.960135542977158 1 1 12 4.367795 1.2576565 1 696 1.1435833 2.428175467637881 1 1 1 2.9823666 1.1435833 1 697 .6872907 -6.891485196342187 1 1 2 -5.605506 .6872907 1 698 1.1435833 .8047783298276583 1 1 3 -5.551962 1.1435833 1 699 .915437 4.065851746799259 1 1 4 6.997572 .915437 0 700 .6872907 -.047381201897914 1 1 5 -3.088691 .6872907 1 701 .915437 -.4992862551811801 1 1 6 -2.195128 .915437 0 702 2.2843146 .659978189597538 1 1 7 2.0669715 2.2843146 1 703 .4591444 -3.928250618093852 1 1 8 -8.327696 .4591444 0 704 1.9420953 1.140803414324776 1 1 9 .3992448 1.9420953 1 705 1.0295101 -7.69640140989817 1 1 10 -4.5901623 1.0295101 1 706 1.713949 -2.843840719369948 1 1 11 2.786053 1.713949 1 707 1.3717295 -3.959268999900607 1 1 12 -2.849913 1.3717295 1 708 1.3717295 8.884163509760876 1 1 1 1.938906 1.3717295 1 709 1.5998758 3.134493315609825 1 1 2 -.57028633 1.5998758 1 710 .2309981 1.488231177052129 1 1 3 -.4467114 .2309981 1 711 .8013638 1.965470919129246 1 1 4 7.002846 .8013638 1 712 2.398388 -6.369458417225107 1 1 5 -5.469872 2.398388 1 713 2.2843146 4.875298554327168 1 1 6 2.7505054 2.2843146 1 714 1.5998758 -1.414019715957383 1 1 7 -3.8905034 1.5998758 1 715 1.0295101 -3.193586706230526 1 1 8 -9.254444 1.0295101 1 716 2.2843146 3.207729445865145 1 1 9 6.79653 2.2843146 1 717 1.0295101 2.930793108493158 1 1 10 -.7248337 1.0295101 1 718 .2309981 2.413054182900358 1 1 11 -1.2622154 .2309981 1 719 1.5998758 5.582421782981512 1 1 12 5.119082 1.5998758 1 625 -.9097333 5.423465823376711 2 1 2 18.113564 -.9097333 1 626 -.681587 -1.535614543637456 2 1 3 -4.0038166 -.681587 1 627 -.7956602 1.820664480585781 2 1 4 -5.748455 -.7956602 1 628 -.9097333 -11.16581611074039 2 1 5 -23.108866 -.9097333 1 629 -.9097333 6.186169449456423 2 1 6 -5.904023 -.9097333 end format %tm modate
0 Response to Hold the Time for Fix Effect (monthly)
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