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Re: st: RE: Difference Model
From
Vikram Finavker <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: RE: Difference Model
Date
Wed, 2 Nov 2011 08:00:28 +0000
Hi,
Sorry for not explaining why I want to use the model. Actually, I want
to examine the effects of hedging on risk measures when a firm either
starts hedging or stops hedging i.e. when h1 changes from 0 to 1 or
from 1 to 0. Hope this makes it clear now.
Regards,
Vikram Finavker
On 1 Nov 2011, at 11:48 PM, Nick Cox <[email protected]> wrote:
> I don't see how you think we can help. There is no context here and no explanation of why any model might make sense for whatever is your research problem.
>
> If you are saying that you want to select times at which -h1- differs from its previous value then
>
> ... if h1 != h1[_n-1]
>
> selects such observations.
>
> Nick
> [email protected]
>
> vikramfinavker
>
> I have a data like this...
>
> year firmid h1 x1 x2 x3 x4 x5
> 1998 1 0 1 10
> 1999 1 0 1 11
> 2000 1 0 1 12
> 2001 1 0 1 12
> 2002 1 1 1 13
> 2003 1 1 1 18
> 2004 1 1 1 17
> 2005 1 1 1 16
> 2006 1 1 1 15
> 2007 1 1 1 14
> 1998 2 0 1 10
> 1999 2 0 1 11
> 2000 2 0 1 12
> 2001 2 0 1 12
> 2002 2 0 1 13
> 2003 2 0 1 18
> 2004 2 1 1 17
> 2005 2 1 1 16
> 2006 2 1 1 15
> 2007 2 1 1 14
>
> Now i want to run regression using following way;
> reg x3 h1 x2
>
> but i want to use only those observations where variables "h1" changes to
> either "1" or "0". can i use first difference model.? Does it help me in
> this case? can i run regression like:
>
> reg x3 d.h1 x2
>
> or do i have to run it like this
>
> reg d.x3 d.h1 d.x2
>
> Please let me know if you can help.
>
>
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