Using coefficeints from regress command to generate a new variable

good evening everyone,

I am using Stata 16.1. I have to run a pooled OLS on a panel data and the use the estimated coefficients to generate a new variable:

1. The model I'm trying to implement is: ∆k_i,t = ( λ₀ + ΛZ_i,t-1) (Gap_i,t-1) + η<sub>i,t
2. I use the following regress command after setting the dataset as panel using xtset:</sub>

regress actual_tier1_gap l.tier1_gap l.((c.tier1_gap)#(i.state1nonstate0 c.size c.return_on_equity_w ///
i.below_tier1 c.provforNPA_to_net_advances_w i.Listeddummy1iflisted c.GdpGrowthRate c.inflation)), noconst

(I apologise for the variable names being unwieldy.)

3. I have run into a few issues:

a. my first question is whether the command is appropriate for the model I am trying to implement

b. the coefficient ofλ₀*Gap_i,t-1 tends to remain low if I add few controls, but increases considerably when I add all of the controls above.

c. Finally in the second stage I have to estimate a variable ΛZ_i,t-1 from the estimated coefficients of Eq1. I'm unable to grasp how to do it.

Any help would be much appreciated.

regards,
Gagan

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