Hi everyone,
my name is Theresa Miller (I have submitted a request to change this...).
I am an absolute stata and econometrics newbie, and even though I know this topic has been discussed before, I do not understand the explanations that are present in this forum - therefore sorry that I am asking again.
Maybe somebody can explain for a complete beginner/idiot like me.
I have panel data (60 firms 10 years) to test whether the accounting figure ctl and total assets tas influences the log annualized stock price volatility lvol. On top of that I have several time-invariant variables like sector sec, and country cty, and one called trs.
After setting the data to panel data (xtset) I have ran different regressions (pooled ols, FE and RE):
reg lvol ctl tas sec cty trs
xtreg lvol ctl tas sec cty trs, fe
estimates store fe
xtreg lvol ctl tas sec cty trs, re
estimates store re
>> Now I ran a hausman test to determine whether I have to use FE or RE model<<
hausman fe re
--> the result was p value = 0.0000, i.e. the Hausman test is significant and that means I have to use FE model.
BUT the problem is: in FE model, my timeinvariant variables are always dropped, and therefore I don't get an explanation whether sec, cty and trs have an effect on my depvar lvol .
Now my question is: what model (some hybrid thing?) to I need to use in this case if I need the timeinvariant variables to be taken into account?
Agreed this question has been asked before, but I really know very little econometrics (this here above is my success of two days of watching tutorials...), so maybe somebody can explain it very simple? I don't need to become a pro, I just need to know which model is the correct one to use...
THANKS SO MUCH IN ADVANCE!!!
my name is Theresa Miller (I have submitted a request to change this...).
I am an absolute stata and econometrics newbie, and even though I know this topic has been discussed before, I do not understand the explanations that are present in this forum - therefore sorry that I am asking again.
Maybe somebody can explain for a complete beginner/idiot like me.
I have panel data (60 firms 10 years) to test whether the accounting figure ctl and total assets tas influences the log annualized stock price volatility lvol. On top of that I have several time-invariant variables like sector sec, and country cty, and one called trs.
After setting the data to panel data (xtset) I have ran different regressions (pooled ols, FE and RE):
reg lvol ctl tas sec cty trs
xtreg lvol ctl tas sec cty trs, fe
estimates store fe
xtreg lvol ctl tas sec cty trs, re
estimates store re
>> Now I ran a hausman test to determine whether I have to use FE or RE model<<
hausman fe re
--> the result was p value = 0.0000, i.e. the Hausman test is significant and that means I have to use FE model.
BUT the problem is: in FE model, my timeinvariant variables are always dropped, and therefore I don't get an explanation whether sec, cty and trs have an effect on my depvar lvol .
Now my question is: what model (some hybrid thing?) to I need to use in this case if I need the timeinvariant variables to be taken into account?
Agreed this question has been asked before, but I really know very little econometrics (this here above is my success of two days of watching tutorials...), so maybe somebody can explain it very simple? I don't need to become a pro, I just need to know which model is the correct one to use...
THANKS SO MUCH IN ADVANCE!!!
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