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From | "Braunfels, Philipp (Stud. SBE / Alumni)" <P.Braunfels@student.maastrichtuniversity.nl> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | st: xtreg with several grouping variables |
Date | Mon, 18 Jun 2012 09:39:42 +0200 |
Dear Statlisters, I want to run a panel regression in which I want to investigate the effect of country characteristics on company returns. More precisely I am investigating wether macroeconomic variables such as GDP, public debt etc. have any effect on company returns. My dataset is in long form, covering seeral years starting in 1990 and looks as follows: Firm_ID Country Industry Date Firm_Return Macro_var 1 DE 4 1990 15 55 1 DE 4 1991 16 53 2 DE 6 1990 22 55 2 DE 6 1991 18 53 3 CH 2 1990 31 92 3 CH 2 1991 32 90 4 CH 1 1990 40 92 4 CH 1 1991 38 90 Now I would like to run a regression, allowing me to investigate how the macro_vars of country i (as x variable) affect the returns of the companies in country i (several companies per country). In general I would define the panel as "xtset Firm_ID Date" and then run xtreg. However this does not allow for the investigation of different groupings (by country/ country and industry, etc). Therefore, I am looking for a way to do this. I would highly appreciate any help! philipp * * 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/