AW: st: Coefficients resulting from Cross-Sectional Regressions

[Fabian Schönenberger <fabian.schoenenberger@gmail.com>]

This is true. I have for many firms (id) one observation per year (t).
However, the number of observations (years, t) varies for each company (id)
because of the data quality. So, you suggest a regression with the function
xtreg? I control for effects common to all firms (macroeconomic situation
like capacity utilization) and I control for the industry (SIC) as well.
However, I thought that it is possible to get bid,t because this coefficient
may vary over time for one firm. 



-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von David Hoaglin
Gesendet: Freitag, 6. April 2012 22:37
An: statalist@hsphsun2.harvard.edu
Betreff: Re: st: Coefficients resulting from Cross-Sectional Regressions

Fabian,

I think several of us are trying to understand how many observations your
data have within an individual year for an individual firm.  That is, for
firm id in year t, how many observations do you have, and what
is varying to produce them?   Your notation yid,t suggests that you
have only one observation per combination of firm and year.  If that is
correct, the data would not support a model in which the coefficient is
bid,t.  The data might, however, support a model in which the coefficient is
bid.  Such a model could also contain effects for the years, either common
to all firms or common to all firms within a particular industry.

David Hoaglin

2012/4/6 Fabian Schönenberger <fabian.schoenenberger@gmail.com>:
> I do not have the same number of yearly observations for each firm.
> According to other studies from journals this is true for many 
> empirical investigations.

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