I run a regression to examine what has an impact on the decision to sell a stock on the stock market. In my regression I include time- and investor-fixed effects. But if I run my regression two dates got omitted because of collinearity (December 29, 1995 and November 22, 1996). I am not sure what to do and how to solve the issue. I am not even sure if this is even an issue.
I shortly explain which variables I used in the regression:
"sell": Dummy variable taking the value of 1 if a sale took place and zero otherwise
"gain": Dummy variable taking the value of 1 if the stock was sold with a gain
"ybeta": CAPM Beta of the stock
"retp": positive part of the return: max(return;0)
"retm": negative part of the return: min(return;0)
"mini": dummy variable taking the value of 1 if the stock is at its minimum in the last 30 days
"maxi": dummy variable taking the value of 1 if the stock is at its maximum in the last 30 days
"sqrhp": square root of the time the stock is hold (measured in days)
"logprc": logarithm of the purchase price
"dec": dummy variable taking the value of 1 if the stock is sold/hold in December
Maybe someone can help me understanding the note and how to deal with it.
Code:
. xtreg sell i.gain##c.ybeta retp retm mini maxi sqrhp logprc i.dec##i.gain i.bdate, fe vce(cluster investor) note: 1304.bdate omitted because of collinearity. note: 1533.bdate omitted because of collinearity. Fixed-effects (within) regression Number of obs = 754,554 Group variable: investor Number of groups = 43,005 R-squared: Obs per group: Within = 0.0312 min = 1 Between = 0.0636 avg = 17.5 Overall = 0.0473 max = 13,212 F(1498,43004) = . corr(u_i, Xb) = 0.1032 Prob > F = . (Std. err. adjusted for 43,005 clusters in investor) ------------------------------------------------------------------------------ | Robust sell | Coefficient std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- 1.gain | .0708707 .0043097 16.44 0.000 .0624236 .0793178 ybeta | .0106603 .0014711 7.25 0.000 .007777 .0135437 | gain#c.ybeta | 1 | .0201162 .0023042 8.73 0.000 .0156 .0246324 | retp | -.0030423 .0031748 -0.96 0.338 -.009265 .0031804 retm | -.0557309 .0078385 -7.11 0.000 -.0710945 -.0403673 mini | .057538 .0030438 18.90 0.000 .051572 .063504 maxi | .1050872 .0033335 31.52 0.000 .0985535 .1116209 sqrhp | -.0004804 .0001556 -3.09 0.002 -.0007853 -.0001755 logprc | .0001387 .0007885 0.18 0.860 -.0014068 .0016842 1.dec | -.172695 .0119841 -14.41 0.000 -.196184 -.149206 | dec#gain | 1 1 | -.1198417 .0051324 -23.35 0.000 -.1299012 -.1097821 | bdate | 44 | .2201969 .0366147 6.01 0.000 .1484314 .2919624 45 | .0785358 .1512041 0.52 0.603 -.2178272 .3748987
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