I am not sure if this is a coding question or not, but maybe I do something wrong when I try to hold for time (monthly)
When I run my regression without holding time fixed I get very normal results but when i try to hold company and time fix my number goes up to -30 ("zfund") All other variables also increase dramatically when compared to the other regressions without time fix.
My results slightly change when I use the xtreg command.
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. reg rirf mktrf smb hml cma rmw zfund i.company i.modate if bank==1, vce(robust) note: 714.modate omitted because of collinearity note: 715.modate omitted because of collinearity note: 716.modate omitted because of collinearity note: 717.modate omitted because of collinearity note: 718.modate omitted because of collinearity note: 719.modate omitted because of collinearity Linear regression Number of obs = 1,425 F(108, 1316) = 11.50 Prob > F = 0.0000 R-squared = 0.4454 Root MSE = 6.2579 Robust rirf Coef. Std. Err. t P>t [95% Conf. Interval] mktrf -7.741088 2.891952 -2.68 0.008 -13.41443 -2.067747 smb 83.13031 26.54097 3.13 0.002 31.06308 135.1975 hml 29.64834 9.107067 3.26 0.001 11.78239 47.5143 cma -91.93764 29.74267 -3.09 0.002 -150.2859 -33.5894 rmw 16.34663 5.399005 3.03 0.003 5.755035 26.93823 zfund -30.49034 9.830907 -3.10 0.002 -49.7763 -11.20438 company 2 -.2254826 .7400578 -0.30 0.761 -1.677305 1.226339 3 .6018272 .701427 0.86 0.391 -.7742101 1.977864 4 -.2621059 .7682079 -0.34 0.733 -1.769152 1.24494 5 -.8889629 .83551 -1.06 0.288 -2.52804 .7501141 6 .6871316 .6355133 1.08 0.280 -.5595982 1.933861 8 .7561471 .6202832 1.22 0.223 -.4607047 1.972999 9 .2336869 1.169095 0.20 0.842 -2.059806 2.52718 10 .0937355 .7444822 0.13 0.900 -1.366766 1.554237 12 .8158824 .6943988 1.17 0.240 -.5463672 2.178132 13 1.019205 .6837043 1.49 0.136 -.3220642 2.360475 16 .4957002 .819849 0.60 0.546 -1.112653 2.104054 18 1.346019 .8399703 1.60 0.109 -.3018083 2.993846 22 -.4672312 .8978365 -0.52 0.603 -2.228578 1.294116 23 .1977232 .732314 0.27 0.787 -1.238907 1.634354 modate 626 222.2949 71.74912 3.10 0.002 81.53979 363.0501 627 134.6272 45.69678 2.95 0.003 44.98072 224.2737 628 652.8424 211.0267 3.09 0.002 238.857 1066.828 629 144.3677 46.00811 3.14 0.002 54.11043 234.6249 630 73.92128 25.33666 2.92 0.004 24.21662 123.6259 631 -405.2951 128.9413 -3.14 0.002 -658.2481 -152.3421 632 -146.7154 48.25323 -3.04 0.002 -241.3771 -52.05379 633 290.815 92.56789 3.14 0.002 109.2183 472.4118 634 372.3913 117.8889 3.16 0.002 141.1205 603.6621 635 -143.4482 45.42443 -3.16 0.002 -232.5604 -54.33598 636 222.1932 72.27017 3.07 0.002 80.41582 363.9705 637 141.2558 43.50198 3.25 0.001 55.91501 226.5966 638 963.34 310.3925 3.10 0.002 354.4218 1572.258 639 755.214 243.6914 3.10 0.002 277.148 1233.28 640 -69.44905 23.59605 -2.94 0.003 -115.739 -23.15907 641 383.8979 123.281 3.11 0.002 142.0491 625.7467 642 -31.5048 9.671183 -3.26 0.001 -50.47742 -12.53218 643 -1475.425 470.4333 -3.14 0.002 -2398.306 -552.5436 644 168.261 55.6351 3.02 0.003 59.11779 277.4041 645 313.8667 103.9872 3.02 0.003 109.8678 517.8655 646 -31.43098 9.650449 -3.26 0.001 -50.36292 -12.49903 647 28.61077 13.01828 2.20 0.028 3.071926 54.14962 648 -21.92804 10.66222 -2.06 0.040 -42.84486 -1.011229 649 480.9861 156.142 3.08 0.002 174.6716 787.3005 650 -422.4824 136.6897 -3.09 0.002 -690.6358 -154.329 651 134.122 44.75692 3.00 0.003 46.31926 221.9247 652 -276.7555 91.15423 -3.04 0.002 -455.579 -97.93206 653 165.3584 55.49897 2.98 0.003 56.48223 274.2345 654 -133.5545 42.40651 -3.15 0.002 -216.7463 -50.36277 655 407.6095 131.6857 3.10 0.002 149.2726 665.9464 656 96.83652 30.80273 3.14 0.002 36.40869 157.2643 657 576.5107 182.4324 3.16 0.002 218.6206 934.4008 658 551.4193 176.8529 3.12 0.002 204.4749 898.3638 659 8.824968 3.843126 2.30 0.022 1.285646 16.36429 660 614.1406 195.4389 3.14 0.002 230.7348 997.5465 661 -628.8514 199.1306 -3.16 0.002 -1019.499 -238.2033 662 -497.7888 160.854 -3.09 0.002 -813.347 -182.2306 663 123.5451 43.50337 2.84 0.005 38.20159 208.8887 664 470.0544 151.0653 3.11 0.002 173.6992 766.4095 665 -493.9739 159.4835 -3.10 0.002 -806.8435 -181.1042 666 381.0563 119.1389 3.20 0.001 147.3333 614.7793 667 526.7112 170.5474 3.09 0.002 192.1367 861.2858 668 195.4699 59.98222 3.26 0.001 77.79863 313.1411 669 340.2443 111.3667 3.06 0.002 121.7686 558.72 670 -129.214 43.35516 -2.98 0.003 -214.2668 -44.16123 671 -306.4041 100.7365 -3.04 0.002 -504.0258 -108.7824 672 679.6763 221.8322 3.06 0.002 244.493 1114.86 673 -39.66966 11.1847 -3.55 0.000 -61.61144 -17.72787 674 106.6453 38.0042 2.81 0.005 32.08988 181.2007 675 -189.4463 58.17123 -3.26 0.001 -303.5648 -75.32784 676 -25.63161 11.04307 -2.32 0.020 -47.29556 -3.967657 677 1098.561 358.0568 3.07 0.002 396.1364 1800.985 678 -308.2393 100.4527 -3.07 0.002 -505.3042 -111.1745 679 -629.049 201.2644 -3.13 0.002 -1023.883 -234.2148 680 79.9836 28.74794 2.78 0.005 23.58681 136.3804 681 653.5069 213.4947 3.06 0.002 234.6797 1072.334 682 324.441 106.5399 3.05 0.002 115.4345 533.4476 683 -457.9802 145.974 -3.14 0.002 -744.3473 -171.6131 684 -8.343466 4.889446 -1.71 0.088 -17.93543 1.248493 685 -288.4626 92.77054 -3.11 0.002 -470.4569 -106.4683 686 -297.2549 95.05027 -3.13 0.002 -483.7215 -110.7883 687 -488.4962 158.951 -3.07 0.002 -800.3211 -176.6712 688 -194.6549 63.59026 -3.06 0.002 -319.4042 -69.90552 689 -59.08523 18.86541 -3.13 0.002 -96.09479 -22.07567 690 543.3927 175.4882 3.10 0.002 199.1255 887.66 691 375.2523 122.2663 3.07 0.002 135.3941 615.1105 692 -320.1725 101.9362 -3.14 0.002 -520.1478 -120.1972 693 -276.3201 88.92715 -3.11 0.002 -450.7745 -101.8656 694 -159.5069 50.74582 -3.14 0.002 -259.0585 -59.95541 695 59.01116 20.78509 2.84 0.005 18.23562 99.78669 696 215.481 69.60309 3.10 0.002 78.93589 352.0262 697 111.0419 36.12761 3.07 0.002 40.16791 181.9159 698 40.92566 14.12682 2.90 0.004 13.2121 68.63921 699 549.7019 180.8562 3.04 0.002 194.9039 904.4998 700 334.5527 110.4683 3.03 0.003 117.8395 551.2658 701 81.90609 25.88978 3.16 0.002 31.11634 132.6958 702 -248.5268 81.43264 -3.05 0.002 -408.2787 -88.7748 703 23.31244 11.11368 2.10 0.036 1.50998 45.1149 704 36.1108 15.41594 2.34 0.019 5.868287 66.35331 705 359.4327 117.863 3.05 0.002 128.2129 590.6525 706 183.2765 56.3681 3.25 0.001 72.69539 293.8577 707 246.19 81.30779 3.03 0.003 86.68296 405.6971 708 100.9648 34.43503 2.93 0.003 33.41125 168.5184 709 698.7783 225.6664 3.10 0.002 256.0732 1141.483 710 209.0761 69.03158 3.03 0.003 73.65212 344.5 711 -359.826 116.8699 -3.08 0.002 -589.0977 -130.5543 712 -171.9024 55.14543 -3.12 0.002 -280.0849 -63.71984 713 954.6183 308.8173 3.09 0.002 348.7903 1560.446 714 0 (omitted) 715 0 (omitted) 716 0 (omitted) 717 0 (omitted) 718 0 (omitted) 719 0 (omitted) _cons 75.27633 23.56857 3.19 0.001 29.04025 121.5124
Thanks everyone.
0 Response to Very high numbers when holding time fixed in regression
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