I am looking for some help on running a regression in which I aim to find intercepts conditional on the state of the world (alpha's in asset pricing models). I am writing a paper on the effect of crisis periods on the relation between sustainable investing and the alpha (intercept/constant) they generate for two different groups of funds. Therefore I use a dummy variable to indicate whether a period is a crisis period or not. I first tried to split the sample based on the two groups of funds and then run separate regressions based on the state of the economy, but that way i run in to problems with the sign of the dummy changing multiple times as the date variable is then no longer continious and would ideally want all my data used for the IV's but the intercept to interact with the dummy variable. I would therefore ideally want one regression that captures both the intercept of the groups (SRI/Conventional) and the effect of the state of the world (Crisis/no crisis).
My current code is as follows:
Code:
preserve keep if SRI == 1 tempfile SRIfunds save `SRIfunds' newey return FF_MktRF FF_SMB FF_HML FF_MOM if Cov_long==0, lag(6) outreg2 using myreg.doc, replace tstat ctitle(Model SRI carhartt) newey return FF_MktRF FF_SMB FF_HML FF_MOM if Cov_long==1, lag(6) outreg2 append tstat
Please note that I already took average from all the funds to create one return variable per day.
Code:
* Example generated by -dataex-. For more info, type help dataex clear input byte(SRI Cov_long) float return double(FF_MktRF FF_SMB FF_HML FF_RMW FF_CMA FF_MOM) float date 1 0 .006379191 .0083 -.001 .001 -.0024 .0026 -.0060999999999999995 1 1 0 .007291976 .0079 .0096 -.0016 -.004699999999999999 -.0002 -.0038 2 1 0 -.004741166 -.0021 -.0101 -.008 -.0023 -.0008 -.006500000000000001 3 1 0 .0007920208 .0029 -.0070999999999999995 -.0031 -.0036 -.0029 -.0021 4 1 0 -.006176188 -.0037 -.0032 -.0103 .0013 -.0052 -.0039000000000000003 5 1 0 .0005522304 .0016 .0101 .0055000000000000005 -.0005 .0008 .006999999999999999 6 1 0 .0010119135 .0031 -.0023 .0054 .0018 .0027 .0076 7 1 0 -.00505751 -.003 -.0064 -.0085 .0004 -.0028000000000000004 -.0053 8 1 0 .0011036316 .0029 .0062 -.001 -.0027 -.0014000000000000002 .0017000000000000001 9 1 0 -.006959572 -.0049 -.0095 -.006 .0058 .004 -.009000000000000001 10 1 0 .000753706 .0024 .002 .0021 -.001 -.0009 .0051 11 1 0 -.006586563 -.0038 -.0054 -.0003 -.0011 -.0003 .0034999999999999996 12 1 0 .0013496157 .0033 .0007000000000000001 .002 .0016 -.0001 .0019 13 1 0 -.004454306 -.0029 -.0007000000000000001 -.0032 .0044 -.0037 .0009 14 1 0 .00674743 .0083 .0078000000000000005 .0077 -.002 .0052 .0115 15 1 0 .006251072 .0084 .0019 .0039000000000000003 -.0024 -.0014000000000000002 .0049 16 1 0 -.0041151796 -.001 -.0058 .0039000000000000003 -.0007000000000000001 -.0016 .0053 17 1 0 -.003651189 -.0012 -.0004 -.0067 .0011 .0007000000000000001 .0002 18 1 0 -.00848583 -.0068000000000000005 -.0073 -.0044 .0058 -.0015 -.0069 19 1 0 -.0003366514 0 .0084 -.005699999999999999 -.0040999999999999995 -.0022 -.0067 20 1 0 -.0020991121 .0004 -.0006 .0003 .0021 -.0025 .0043 21 1 0 -.0030068476 -.0002 -.0032 -.0028000000000000004 -.0032 .002 -.0053 22 1 0 .006608968 .008199999999999999 .0064 .0068000000000000005 -.0052 .0036 .008199999999999999 23 1 0 -.005836584 -.0027 -.0062 -.0018 .0005 -.0021 -.0027 24 1 0 -.002638263 -.0001 -.0038 -.0051 .0039000000000000003 -.0024 -.0026 25 1 0 -.0011492458 .0006 -.0028000000000000004 -.0058 .003 -.001 -.0060999999999999995 26 1 0 .00516663 .0072 .0073 .0002 -.0028000000000000004 .0005 .004699999999999999 27 1 0 .0019717298 .0038 .004 .0012 .0003 .0015 -.0034000000000000002 28 1 0 .002412963 .0049 -.0027 .0034000000000000002 -.0001 .0005 .0025 29 1 0 .001660321 .0045000000000000005 -.0017000000000000001 .0034999999999999996 -.0045000000000000005 -.0007000000000000001 .0009 30 1 0 .003021895 .0054 .0013 -.0044 .0019 -.0008 -.0027 31 1 0 -.0035820846 -.0016 -.0022 -.0003 .0028000000000000004 -.0022 -.0008 32 1 0 .00004579462 .002 -.0006 -.005600000000000001 .0002 -.0039000000000000003 -.004 33 1 0 .0038359875 .006 .0004 .0012 .0033 .0034000000000000002 .0011 34 1 0 -.003908 -.0015 -.0039000000000000003 .001 .0048 -.0034000000000000002 -.0002 35 1 0 -.0036954596 -.0011 -.0070999999999999995 .0026 -.0028000000000000004 -.0045000000000000005 -.0059 36 1 0 .000017883583 .0015 -.0009 -.0095 .0031 -.0021 -.006 37 1 0 .0005009613 .0022 .0085 -.0034000000000000002 -.0037 -.0011 .0018 38 1 0 -.007886097 -.0042 -.013500000000000002 .0017000000000000001 -.0006 -.0017000000000000001 .0007000000000000001 39 1 0 .0126194 .0147 .0051 .0073 -.0049 .0052 .0126 40 1 0 -.008033554 -.006999999999999999 -.0054 -.009000000000000001 .006500000000000001 -.0046 -.0108 41 1 0 -.0004265263 .0009 -.0018 .0014000000000000002 -.0005 -.0008 .0062 42 1 0 -.005282883 -.0038 -.0040999999999999995 -.0008 -.0004 0 .0009 43 1 0 -.004697158 -.0036 -.0036 -.0006 .0009 -.0025 .0014000000000000002 44 1 0 -.003099925 -.0019 -.0018 -.0084 .0043 -.0073 -.006999999999999999 45 1 0 -.0014163863 .0004 -.0051 -.0026 -.0058 -.0017000000000000001 -.0016 46 1 0 .002964036 .0034000000000000002 .0005 -.005 .003 .0002 -.0021 47 1 0 .0010793823 .0013 .0033 -.0006 -.0013 .0005 .0053 48 1 0 -.0044620726 -.0036 -.0022 0 .0049 -.0024 -.0014000000000000002 49 1 0 .008609341 .0086 .0073 -.0042 -.0007000000000000001 .0055000000000000005 -.0007000000000000001 50 1 0 -.001462624 -.0006 .0044 .0024 -.0012 -.0038 -.0014000000000000002 51 1 0 -.0010656733 -.0008 .005600000000000001 -.0029 .0019 -.0003 .0012 52 1 0 -.0039945142 -.0025 -.0016 -.0073 -.0016 -.0004 .0003 53 1 0 -.015893232 -.0148 -.0139 -.0068000000000000005 .0083 .0029 -.0173 54 1 0 .0005957054 .0016 -.0033 -.005600000000000001 .0016 -.0013 .0021 55 1 0 -.0008312807 -.0003 .0073 .0048 -.0001 .0019 .0014000000000000002 56 1 0 -.001525199 -.0005 .0012 -.0023 -.0028000000000000004 -.0033 .0009 57 1 0 -.0011984714 -.0005 .004699999999999999 -.0049 -.0021 -.0028000000000000004 -.0034000000000000002 58 1 0 .005841526 .0072 -.0006 .0072 .0004 .0039000000000000003 .0039000000000000003 59 1 0 .0011109618 .0018 .0033 -.0006 -.0025 .0013 -.004699999999999999 60 1 0 .0021300872 .0036 .0040999999999999995 .0092 -.0005 -.0013 .0070999999999999995 61 1 0 -.001846141 -.0016 .0055000000000000005 -.0032 .0003 .0007000000000000001 -.0003 62 1 0 -.007363415 -.0028000000000000004 -.011399999999999999 -.0011 -.0017000000000000001 -.0008 .0003 63 1 0 -.003964746 .0005 -.0023 .0032 -.0009 .0016 .0039000000000000003 64 1 0 -.007274104 -.0044 -.008199999999999999 -.0031 .0045000000000000005 -.0009 -.0045000000000000005 65 1 0 .001298278 .0032 .0075 .0048 -.0012 .0037 .0003 66 1 0 -.0037507056 -.0008 .0008 -.0026 .0001 -.0002 -.0001 67 1 0 -.0014472653 .0008 .0015 .0007000000000000001 .0019 .004699999999999999 -.009000000000000001 68 1 0 -.002529 -.0005 .008 .0021 .002 .0019 .0018 69 1 0 -.008501717 -.0049 -.009300000000000001 -.0053 -.0007000000000000001 -.0055000000000000005 -.006 70 1 0 -.009780758 -.0075 -.0033 -.0079 -.0001 -.0036 -.0028000000000000004 71 1 0 .005807308 .0089 .0027 .0022 .0003 -.0015 .0051 72 1 0 -.00573377 -.0025 .003 -.0018 .0032 .0011 -.0002 73 1 0 -.002583687 -.0008 .005600000000000001 -.0043 .0044 -.0084 .0017000000000000001 74 1 0 .005531873 .0083 .0058 .0026 .0024 -.0018 .0043 75 1 0 -.005974245 -.0028000000000000004 .0005 -.0014000000000000002 .0034999999999999996 -.0021 .0018 76 1 0 .008646902 .0118 .0027 .0049 -.0006 .0015 .009300000000000001 77 1 0 .0031739445 .0066 .0039000000000000003 -.0005 -.0036 .0029 .0013 78 1 0 -.0020676733 .0004 .0075 .0031 .0024 .0001 -.0029 79 1 0 -.001662742 .0005 -.0021 -.0096 .0021 -.0059 .0023 80 1 0 -.007231133 -.003 -.0074 -.0060999999999999995 .001 -.0021 -.001 81 1 0 -.001439737 .0021 .0024 -.0013 -.0018 -.0051 .009399999999999999 82 1 0 -.002475187 .0003 -.0046 -.0019 .0039000000000000003 -.0034000000000000002 -.005699999999999999 83 1 0 -.005524357 -.0019 -.0052 .0022 -.0004 .0012 .0001 84 1 0 -.0018194335 .0002 -.0012 -.0038 .0037 -.0072 -.0003 85 1 0 .0019751308 .0046 .0009 .0004 -.0021 .0063 -.0029 86 1 0 -.0040871934 -.0004 -.0022 .0026 .0011 .0002 .0013 87 1 0 -.003243554 -.0005 .004 -.008 .0036 -.0036 -.0004 88 1 0 -.0007118916 .0021 .0025 .0004 -.003 .0034999999999999996 .0006 89 1 0 -.006104197 -.0026 -.0039000000000000003 -.0015 -.0027 -.0002 .0007000000000000001 90 1 0 -.00596642 -.0018 -.0038 -.0060999999999999995 -.0028000000000000004 -.0032 .0032 91 1 0 .002847914 .0053 .0026 .0021 -.0031 .0003 .0008 92 1 0 -.003466656 -.0003 .001 -.0008 -.0025 -.0014000000000000002 .0084 93 1 0 -.0215444 -.0197 -.0096 -.0052 .0052 .0029 -.015300000000000001 94 1 0 -.00019414278 .004 -.0002 -.004 -.0031 -.0060999999999999995 .006500000000000001 95 1 0 .004094635 .006999999999999999 -.0034000000000000002 .0039000000000000003 -.001 .0076 -.0019 96 1 0 .002342031 .005600000000000001 .0024 -.0027 -.0004 -.0033 .0036 97 1 0 -.0016566098 .0018 -.0002 .0062 -.0023 .0008 .0048 98 1 0 -.000604378 .0024 -.0021 -.0048 .0018 -.003 .001 99 1 0 .0012043547 .0042 -.0037 -.0074 .005600000000000001 -.0063 .0058 100 end
0 Response to Intercept conditional on state of the economy
Post a Comment