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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 08:32:54 +0000
Hi,
Thanks Nick. I couldn't say thanks earlier as earlier I couldn't reply
to my post as my email was not registered for statalist.
I am really very much thankful to you and all others who have helped me.
Regards,
Vikram Finavker
On 2 Nov 2011, at 08:22 AM, Nick Cox <[email protected]> wrote:
> That establishes that my comments on selecting observations may be
> pertinent. But on the other hand if you look at only those
> observations, you lose any dynamics and appear to assume instantaneous
> effects within the time resolution of the data.
>
> But you need economists working in this area to comment on which
> models might make sense -- and with annual data??? I am not an
> economist, so bail out at this point.
>
> Nick
>
> On Wed, Nov 2, 2011 at 8:00 AM, Vikram Finavker
> <[email protected]> wrote:
>> 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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