I am working on a panel data set with 20 countries and quarterly data. The dependent variable is price and the independent variable is risk. I am using quarterly election as an IV in IV regressions. This is a dummy variable which takes the value of 1 for election quarters and 0 otherwise. I want to run instrumental variable regressions;
01. by using three quarters before plus election quarter as the IV
02. quarter right before the election quarter as the IV
A snapshot of the data file is included below.
The current code that I use to run regressions using current election quarter data is;
ivreg2 price $controls i.countrynum i.yearqtr (risk = election), savefirst savefprefix(first)
Can someone please advise on how to modify this code to run the above 2 regressions?
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input str97 location double(year qdate price risk) byte election "Australia" 1970 41 .04297956780566525 .3646308 0 "Australia" 1970 42 .05162054093048929 .655308 0 "Australia" 1970 43 .04565936262218839 0 0 "Australia" 1971 44 .04049916884918492 .337344 0 "Australia" 1971 45 .049496729488366364 .449169 0 "Australia" 1971 46 .07607787494393325 .304909 0 "Australia" 1971 47 .07383885597122553 0 0 "Australia" 1972 48 .0903276229663641 .373925 0 "Australia" 1972 49 .1292809534922108 0 0 "Australia" 1972 50 .11936403114460226 .2447681 0 "Australia" 1972 51 .14367467361375175 1.230959 1 "Australia" 1973 52 .11256845289860817 .354045 0 "Australia" 1973 53 .023396646749443528 .226142 0 "Australia" 1973 54 -.022503139633368807 0 0 "Australia" 1973 55 -.07171322256754664 0 0 "Australia" 1974 56 -.059487461301409694 .4249894 0 "Australia" 1974 57 -.0009579086563914485 .4659109 1 "Australia" 1974 58 -.01590767621940592 0 0 "Australia" 1974 59 .012655398230987824 .474046 0 "Australia" 1975 60 .004346961030980312 .3881988 0 end format %tq qdate
0 Response to IV regressions - modifying dates
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