Hi all,
Currently in the works of writing my thesis where one of the regressions is the following:
Array
rhp = Real House Prices
shock = Start of unconventional monetary policy
hsr = housing supply
hhdi = household income
mr = mortgage rate
unem = unemployment
hhd = household debt
Basically I am testing whether UMP had an effect on house prices in EZ when accounting for the housing supply (which seems to be the case). However, for the period Q1 2010 - Q1 2021 (shock = Q1 2015) I want to research in which quarter the variable became significant sort of in a backtesting manner. I used the following code, but it drops all variables due to collinearity (I assume the collinearity between quarters):
gen significance = .
forval i = 1/44 {
local quarter = 200 + `i'
xtreg rhp hsr shock hsrxshock hhdi mr unem hhd if quarter == `quarter', fe
// Check the significance of the interaction term
local t_statistic_of_interaction = _b[hsrxshock]
if abs(`t_statistic_of_interaction') > 1.96 {
replace significance = `i' if missing(significance)
}
}
Anyone has any ideas on how to determine how I can test in which quarter the interaction variable became significant?
Many thanks!
Matthias
Related Posts with Advice on backtesting when an interaction is significant
Confidence intervals for 5 year survival after multiple imputationHi Statalist, I would be grateful for some help predicting IPT-weighted 5-year (60 months) survival…
Help with gravity equation estimated using PPML (Stata 14.2)Good evening, everyone! The following is a snippet of my database( I have data of Brazil's exports …
Local list of variables as argument of programI'm trying to enter a list of variables as an argument for a program. Unfortunately, I've been runni…
Twoway scatter plot: how to modify axis lengthHello, This is my first post here so if I did something wrong I apologize. I'm working with a data…
capturing unit and time specific coefficientsHello. I am using Stata 16. I have an unbalanced panel data set with firm (gvkey) observations over …
Subscribe to:
Post Comments (Atom)
0 Response to Advice on backtesting when an interaction is significant
Post a Comment