Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: Fama-MacBeth regression
From
Islam Abdeljawad <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: Fama-MacBeth regression
Date
Sun, 14 Aug 2011 07:50:08 -0700 (PDT)
Thanks a lot. simple trick
----- Original Message -----
> From: Sami Alameen <[email protected]>
> To: [email protected]
> Cc:
> Sent: Sunday, August 14, 2011 8:33 PM
> Subject: Re: st: Fama-MacBeth regression
>
> Assuming the model is justified:
>
> Just create a lagged dependent variable and include it in the regression
>
> use grunfeld
> xtset company year
> by company: gen l_invest=invest[_n-1]
>
> xtfmb invest l_invest kstock mvalue
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/