Re: st: panel data/no observations

[Andrew Reed <drew.reed1@gmail.com>]

Billy,

I have 79 entities, both banks and sovereigns and their corresponding daily exchange rate movements from September 21, 2000 until November 25, 2011. Not including the gaps, I have around 200,000 observations total. These were the commands I wrote in order to create the new variables.

Change in non-event exchange rates: gen dex_ne = dex if event==0

Credit Rating Level of non-event entity: gen ccr_ne = ccr1 if event ==0

Credit Rating Level of event entity: gen ccr_e = ccr1 if event==1

There are some entities that have no events whatsoever and there are few events anyways. I have quite a bit of missing values in the credit rating levels due to this very reason but I'm weary of replacing them with a number. Is this right to assume?
Den 16/08/2013 kl. 17.13 skrev William Buchanan:

> Given the reported error, it'd be helpful to see exactly what you typed into Stata as well as the number of observations in your data set.  It is possible that while you were recoding variables you did not populate all of the observations that should have valid values which would negatively affect your estimation sample.
> 
> HTH,
> Billy
> 
> 
> 
> On Aug 16, 2013, at 10:01 AM, Andrew Reed <drew.reed1@gmail.com> wrote:
> 
>> I am trying to run a panel regression in Stata in order to determine spillover effects of an 'event' entity on 'non event' entities. The basic idea is to see if credit rating news announcements on one entity affect the exchange rates of other entities. I have therefore created an event dummy variable where I use '1' to define the event, and events can range from [-1,+1] to [-1,+7]. 
>> 
>> I have furthermore created a modification of my delta.exchange_rate variable where I omit changes in the exchange rate of an event entity in order to measure the effect of the credit rating news announcements only on 'non-event' changes in exchange rates. The problem is that now when I run the panel data regression I am served with an r(2000) error report saying that I lack observations. Does anyone know how to overcome this problem? My econometric equation takes the following form, where i denotes an 'event' entity and j represents all other entities that are defined as 'non-event'.
>> 
>> delta.exchange_rate.j,t = alpha + beta.1(delta.change in credit rating)i,t + beta.2(event credit rating level)i,t + beta.3(non-event credit rating level)j,t + lamda(controls, etc) + epsilon
>> 
>> If anyone has any suggestions or clarifications I would greatly appreciate it. Also, if clarifications for my own problem are needed, please feel free to let me know.
>> 
>> Sincerely,
>> 
>> Andrew W. Reed
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