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
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 |