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  • Generate year and quarter dummies for my Difference Gmm test

    Hi all, Can you please guide me how to generate dummys for both year and quarter? I am doing my thesis on determinants of bank profitability. My data set has been automatically set to unbalanced panel with 64 quarters.

    For difference gmm I require quarterly and year dummies to be generated am I am not sure how to go about it. My model is as below. Please do kindly guide me...Thankyou!


    as of now this is my model: roa(dependent variable) lagroa s ea rwa totrbcr nii llp npl liqa gdpgr cpi fedrate.



    The variables are as identified below.

    I am also confused on how to generate the gmm command for this model..please do guide me.thankyou
    Profitability (dependent) Net profit before taxes/assets

    Net profit before taxes/equity
    ROA
    Or
    ROE
    Size Natural log of total assets S
    Capital Equity / assets ea
    Manager Risk Risk weighted asset/Total Asset rwa
    Total Risk based capital ratio Capital/ Risk weighted Asset totrbcr
    Non-interest income/total income Non-interest income/total income nii
    Credit Risk Loan loss provision/ total loans llp
    Asset Quality Non-performing loan/ total loan npl
    liquidity Liquid asset/Total Asset liqa
    Cyclical
    output
    Real GDP growth gdpgr
    Inflation Consumer Price Index cpi
    Federal fund rate The effective federal fund rate fedrate
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