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  • How to add Year dummies in xtabond2

    Dear All,
    I have penal data of 12 years’ and 259 local firms, (3108) observations. I am using Stata version14. I am investigating, the impact of corporate governance on firm performance”.

    I used following command in Stata....

    xtabond2 ROA l.ROA l2.ROA l.3ROA l.4ROA BoardSize Female NED BoardMeet Acomsize DirOwn InstiOwn OwnCon Firmsize FirmAge Leverage DividendtoTA SaletoAssest SaleGrowth CFtoTA , gmm( BoardSize Female NED BoardMeet Acomsize DirOwn InstiOwn OwnCon AssocaitedOwn Firmsize FirmAge Leverage DividendtoTA SaletoAssest SaleGrowth CFtoTA ,lag(3 4)collaps) iv( BoardSize Female NED BoardMeet FirmAge )twostep robust small

    1)How to add Year dummies in following Command....

    2) In order to determine the impact of past performance on current variable, we used lags of dependent variable which is labelled as Dynamic endogeneity. In the same way, how we will determine the impact of current variables on future performance? ( The resercher used (t+1)

    3) How to conduct test of strict exogeniety

    4) How to conductCragg-Donald statistic. It determines the strength of instrumental variable

    I have attcahed the paper which conduct all above points in his paper

    Thanks in Advance...
    Attached Files

  • #2
    For adding year dummies, you can prefix xi in the command.
    xi:xtabond2 var 1 var2 var 3........ i.year, iv (i.year, eq(level) gmm().....

    Comment


    • #3
      The advice in #2 is good for users of Stata versions less than 11.

      Otherwise xtabond2 (SSC) supports factor variable notation, so using xi: is redundant (and can cause some difficulties otherwise).

      Comment


      • #4
        Concerning time dummies in a system-GMM framework, please see the following Statalist discussion:
        System GMM - Time dummies

        As an aside: You should not publicly post files that are possibly protected by copyright.
        https://twitter.com/Kripfganz

        Comment


        • #5
          Dear swati saini
          Can you explain little more how to use year dummy? As i have 12 years ? Can you please add the year dumies in my following command.....



          xtabond2 ROA l.ROA l2.ROA l.3ROA l.4ROA BoardSize Female NED BoardMeet Acomsize DirOwn InstiOwn OwnCon Firmsize FirmAge Leverage DividendtoTA SaletoAssest SaleGrowth CFtoTA , gmm( BoardSize Female NED BoardMeet Acomsize DirOwn InstiOwn OwnCon AssocaitedOwn Firmsize FirmAge Leverage DividendtoTA SaletoAssest SaleGrowth CFtoTA ,lag(3 4)collaps) iv( BoardSize Female NED BoardMeet FirmAge )twostep robust small

          Comment


          • #6
            You can do it the way as Mr Sebastian had suggested
            Code:
            xi: i.year
            xtabond2 ROA l.ROA l2.ROA l.3ROA l.4ROA BoardSize Female NED BoardMeet Acomsize DirOwn InstiOwn OwnCon Firmsize FirmAge Leverage DividendtoTA SaletoAssest SaleGrowth CFtoTA _Iyear_3-_Iyear_12, gmm( BoardSize Female NED BoardMeet Acomsize DirOwn InstiOwn OwnCon AssocaitedOwn Firmsize FirmAge Leverage DividendtoTA SaletoAssest SaleGrowth CFtoTA ,lag(3 4)collaps) iv(_Iyear_3-_Iyear_12, eq(level))twostep robust small

            Comment


            • #7
              sorry the command for creatind dummies should read as
              Code:
              xi i.year

              Comment


              • #8
                Dear Sawti,
                Thanks for guidance...

                Little more help needed.... You used underscore sign and hyphen sign in above command like this:
                _Iyear_3-_Iyear_12 Can you please look at my below command,...... is command is ok ? as i added dummies:

                xtabond2 ROA l.ROA l2.ROA l.3ROA l.4ROA BoardSize Female NED BoardMeet Acomsize DirOwn InstiOwn OwnCon Firmsize FirmAge Leverage DividendtoTA SaletoAssest SaleGrowth CFtoTA , gmm( BoardSize Female NED BoardMeet Acomsize DirOwn InstiOwn OwnCon AssocaitedOwn Firmsize FirmAge Leverage DividendtoTA
                SaletoAssest SaleGrowth CFtoTA i.year1 i.year2 i.year3 i.year4 i.year5 i.year6 i.year7 i.year8 i.year9 i.year10 i.year11 i.year12

                ,lag(3 4)collaps) iv( i.year1 i.year2 i.year3 i.year4 i.year5 i.year6 i.year7 i.year8 i.year9 i.year10 i.year11 i.year12
                BoardSize Female NED BoardMeet FirmAge )twostep robust small


                2) Do I need to put the same title of years dummies variables (e.g. i.year 1 etc) in excel data sheet as well which I uploaded in stat to run the xtabond2 command

                3) Somebody asked me that i have to make any year as base year as well otherwise one of the dummy variable value will show as zero.....

                Comment


                • #9
                  Dear Sawti, Thanks in advance

                  Comment


                  • #10
                    Dear Sawti,

                    When i run the command of xtabond2 with time dummies then first 4 years dummies value are omitted and showed zero value in results...In the same way when i used these dummies in fixed effect model then 1 years showed as omitted.......Can you please advice me...

                    Comment


                    • #11
                      You are doing it incorrectly. Go through this discussion :
                      System GMM - Time dummies

                      Comment


                      • #12
                        Dear Swati,
                        I already go through such discussion but i am unable to understand it...I am in very difficult situation. I really appreciate if you would be able to help me.

                        Comment


                        • #13
                          I appreciate if you just add year dummies in my equation:
                          xtabond2 ROA l.ROA l2.ROA l.3ROA l.4ROA BoardSize Female NED BoardMeet Acomsize DirOwn InstiOwn OwnCon Firmsize FirmAge Leverage DividendtoTA SaletoAssest SaleGrowth CFtoTA , gmm( BoardSize Female NED BoardMeet Acomsize DirOwn InstiOwn OwnCon AssocaitedOwn Firmsize FirmAge Leverage DividendtoTA
                          SaletoAssest SaleGrowth CFtoTA i.year1 i.year2 i.year3 i.year4 i.year5 i.year6 i.year7 i.year8 i.year9 i.year10 i.year11 i.year12

                          ,lag(3 4)collaps) iv( i.year1 i.year2 i.year3 i.year4 i.year5 i.year6 i.year7 i.year8 i.year9 i.year10 i.year11 i.year12
                          BoardSize Female NED BoardMeet FirmAge )twostep robust small

                          Comment

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