Good evening,
I am trying to estimate a fixed-effects model using xtreg command in stata 17.0.
My econometric model is as under:
ki,t - ki,t-1 (1 - ΛhatZi,t-1 ) = β [(ΛhatZi,t-1 ) Xi,t-1] + ηi,t
where ΛhatZi,t-1 are estimated values from a pooled regression.
I generate the LHS variable using the generate command and then try to use the following command:
xtreg LHS_thirdstep [c.soa_tier2_nocons1#( i.l.state1nonstate0 c.l.size c.l.profitability_w c.l.provforNPA_to_net_advances_w ///
c.l.net_advances_to_assets_w c.l.market_funding_w i.l.Listeddummy1iflisted)] Y5-Y20, fe vce(robust)
I get the following error: "c.soa_tier2_nocons1 unknown weight type"
Does this mean that I must manually generate all the interaction terms on RHS for my econometric model before trying to use xtreg?
I'm trying to follow the methodology in Jiang et al. (2019)
Jiang, C., Liu, H., & Molyneux, P. (2019). Do different forms of government ownership matter for bank capital behavior? Evidence from China. Journal of Financial Stability, 40, 38–49. https://doi.org/10.1016/j.jfs.2018.11.005
Thanks and regards.
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