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: ∆ki,t = ( λ0 + ΛZi,t-1) (Gapi,t-1) + ηi,t
2. I use the following regress command after setting the dataset as panel using xtset:

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*Gapi,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 ΛZi,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