Title: Message
I have a PhD student
who estimated the following equation using SAS proc mixed to
generate variable firm- and
time-specific coefficients.
y = a0 + a1DR + (B0
+B0i + B0t)R + (B1 + B1i +B1t)R*DR
where y is a
firm-specific variable (earnings per share/price)
DR = 1 if the
return is negative (firms losing in the market)
R = firm
return
i = 791 firms where
the variable gvkey is unique for each firm
t = 13
years
I want to replicate
her results using stata and I think I need to use gllaam. We
want to use the standardized random effects, B0i and B1i, as variables in
another model. I have Rabe-Sesketh & Everitt's Handbook, which discusses
gllaam with continuous data (post-natal depression data), but where that model
has a random intercept and one random slope, this model has 4 random
coefficients.
I know that I
have to define the equations for the random effects, but I am confused about the
time coefficients.
gen R_DR =
R*DR
eq coeffB0i:
R
eq coeffB0t:
?
eq coeffB1i:
R_DR
eq coeffB1t:
?
gllamm y DR R R_DR,
i(gvkey) nrf(4) eqs(coeffB0i coeffB0t coeffB1i coeffB1t)
adapt
Could someone help
me learn how to estimate this model in Stata?
Also, how do I get
Stata to give me the individual coefficients by firm? Is there a command
to standardize the coefficients?
It appears that I
use gllapred, but I'm not sure.
Thank
you.
Amy Dunbar
Department of Accounting
School of
Business
University of Connecticut
2100 Hillside Road, Unit 1041
Storrs, CT
06269-1041
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