estimating cross sectional regression

[Ines Kammoun]

Dear community,

I have to estimate the below equation( Khan and Watts, 2009) using annual cross-sectional regressions for the period 2006-2015 to obtain coefficients λ₀ , λ₁ , λ₂ , λ₃ for each year.
NI_it = β₀+ β₁ D_it + R_it (μ₀ + μ₁ SIZE_i,t + μ₂ MTB_i,t + μ₃ LEV_i,t ) + D_it * R_{it (}λ₀ + λ₁ SIZE_i,t + λ₂ MTB_i,t + λ₃ LEV_i,t) +(φ1 SIZE_i,t + φ2 MTB_{i,t +} φ3 LEV_i,t + φ4 D_it*SIZE_i,t + φ5 D_it*MTB_i,t + φ6 D_it* LEV_i,t) + Ԑ_it .
Then, I have to replace the obtained coefficients in the following equation to caluculate C_Score:
C_score = β_3,i,t = λ₀ + λ₁ SIZE_i,t + λ₂ MTB_i,t + λ₃ LEV_i,t
Could you please help me to insert the correct commands in STATA to estimate the first regression and then to calculate C_Score.
It’s noting that I have some missing values (SIZE, MTB AND LEV), how can I deal with this issue? Should I drop the full firm year observations containing these missing values before estimating the first regression?


Thanks in advance

[Carlo Lazzaro]

Ines:
welcome to this forum.
This kind of queries are at high risk of being left unreplied.
Actually, you do not ask for Stata (or detailed statistical adivice), but for a long teaching-note on statistics (for instance, missing values have a sort of boundless literature; see -mi- entries in Stata .pdf manual), instead.
Besides, your post sounds lke "please find the solutions to this home/class assignment on my behalf and report back to me as soon as possible"; please note that posting/replying to schoolworks is highly deprecated on this forum (see the reasons in FAQ).
In brief, read the FAQ carefully and become familiar with how to post effectively. Thanks.