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  • What is the point of creating dummy variables (time dummies) and which formula to apply?

    Good afternoon everybody.

    I would like to determine the effect of intangible assets on firm performance.
    The picture below shows the effect of goodwill on firm performance.

    My problem is the following:
    1: What is the point of creating dummy variables (time dummies) in a regression analysis?
    2: How to create dummy variables in Stata (YEAR dummy variable)?



    Click image for larger version

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    My panel is data can be found below:

    Code:
    * Example generated by -dataex-. To install: ssc install dataex
    clear
    input int YEAR str22 INDUSTRY str15 TICKER double(EVA SIZE LEVERAGE PoR VOLATILITY) int AGE double(STOCKRETURN MARKETRETURN MARKETADJUSTEDRETURN GROWTH INTANGIBLEASSETS)
    2010 "Consumer, Non-cyclical" "DIM FP Equity"        -3588.7002582 2.8071336952942993   .2017536776188989    -.2644179585053621  6.289937434616741 140    .3447537473233405  .008407724095638336    .3363460232277022   .3982999920845032   352.343994140625
    2011 "Consumer, Non-cyclical" "DIM FP Equity"        -4426.4248264 2.8756600031431527  .20384718362907667    -.3200473834575988    9.1329041613256 141   .29888712241653415  -.17593742540553448    .4748245478220686   .4683000147342682 353.34100341796875
    2012 "Consumer, Non-cyclical" "DIM FP Equity"        -4003.1354682 3.0515948914060895  .17823536969715292    -.2700155049686377   21.7791432968401 142   .49511002444987784   .15270455152162302   .34240547292825485   .6166999936103821 396.78900146484375
    2013 "Consumer, Non-cyclical" "DIM FP Equity"   -4369.098902799999 3.3173538953629276  .18955386563531154   -.25461705594785444 27.816653430391796 143    .6606704824202778    .1719018046166907    .4887686778035871   .7200000286102295 425.41400146484375
    2014 "Consumer, Non-cyclical" "DIM FP Equity"        -5596.0248583  3.394004039330378   .1168036784325222   -.25413434195632373 30.079739252060243 144    .3234859675036928 .0001374533480348762    .3233485141556579   .7867000102996826  426.9460144042969
    2015 "Consumer, Non-cyclical" "DIM FP Equity"        -5910.2237852  3.734862361892527  .11092289264888097    -.1692132984177832 146.90224254765744 145    1.191220238095238   .09094921821769045   1.1002710198775474  1.2799999713897705  480.3089904785156
    2016 "Consumer, Non-cyclical" "DIM FP Equity"   -5447.381506000001  3.742571648234277  .08556347833213057   -.19998958862036206   61.6075243602294 146   .01816638370118846   .05385759583621944 -.035691212135030986  1.6699999570846558 488.79400634765625
    2017 "Consumer, Non-cyclical" "DIM FP Equity"   -8109.154091199999  3.744882886322759   .1137327668182676   -.24032205999205405  66.28032173514192 147 -.014869281045751694   .11582835943811336  -.13069764048386506                1.75  558.9509887695313
    2018 "Consumer, Non-cyclical" "DIM FP Equity"  -13221.812423999998  3.905900508456422  .09522030772637691   -.20380962451694767 254.87604048335544 148    .4488306518493945   -.1225479484884155    .5713786003378101   2.259999990463257    562.18701171875
    2019 "Consumer, Non-cyclical" "DIM FP Equity"  -11303.738565200001  4.134018095440877  .07510721473618726   -.22406301039227977 266.25682672867583 149    .6908986834573555   .27335639201198264   .41754229144537286  2.5399999618530273  626.8140258789063
    2020 "Consumer, Non-cyclical" "DIM FP Equity"   -9868.661657499999  4.428828969136678  .19117620227958101   -.08758163359405784  896.6550449971584 150    .9715639810426541  -.06830521436750278   1.0398691954101569   3.880000114440918 1508.6829833984375
    2010 "Utilities"              "RUI FP Equity"   -8521.526938999998 3.0883447835218654   .2353076125403071    -.6424239199829751  35.30409254101701  20   .46119842829076607  .008407724095638336   .45279070419512774  1.1978000402450562 265.58599853515625
    2011 "Utilities"              "RUI FP Equity"   -9820.163242999999 3.0891364718945087  .27531172240144064    -.6969870115391047 15.792691633087635  21  -.08171676959218982  -.17593742540553448   .09422065581334466   1.177899956703186   381.322998046875
    2012 "Utilities"              "RUI FP Equity"  -11016.407293200002   3.22512867590648   .3158388276709308    -.5419519269733615 24.617030094839063  22    .2634105352138188   .15270455152162302   .11070598369219578   1.454200029373169    448.60400390625
    2013 "Utilities"              "RUI FP Equity"       -13053.8704048 3.2343472274762686  .28045385601328005    -.6771545958341295 17.871869472271456  23  -.09942491656511111    .1719018046166907   -.2713267211818018  1.5080000162124634 464.12298583984375
    2014 "Utilities"              "RUI FP Equity"        -13484.414732  3.264079343342337   .2888174689731998    -.6199042494598145  21.45404120001725  24  .026935952487297143 .0001374533480348762  .026798499139262265   1.517799973487854  576.4609985351563
    2015 "Utilities"              "RUI FP Equity"        -17063.256718 3.4801592356941415  .31849979625119207    -.4940722863197552  60.91569207456262  25    .5056842649211954   .09094921821769045   .41473504670350503   2.065000057220459      791.458984375
    2016 "Utilities"              "RUI FP Equity"       -15490.5903498  3.551371195653819   .2857209774629596    -.6004172635586621  43.04609896050112  26   .12012012012011998   .05385759583621944   .06626252428390053   2.374000072479248  795.9180297851563
    2017 "Utilities"              "RUI FP Equity"       -19163.0751647  3.743154979995348   .3426705561877677    -.5008189530203363  95.85138575516122  27   .47782510648960164   .11582835943811336   .36199674705148827   2.869999885559082   1136.89404296875
    2018 "Utilities"              "RUI FP Equity"  -26779.805858400003  3.656762518947782   .3116192172195532     -.666214035502027 100.35106233833368  28  -.20515428958969134   -.1225479484884155  -.08260634110127583  2.6500000953674316 1128.7039794921875
    2019 "Utilities"              "RUI FP Equity"  -27417.535660399997 3.7390619345187344  .29233754288695174    -.5029570968697413  36.05495939946816  29   .16787542662116034   .27335639201198264   -.1054809653908223   3.119999885559082 1276.4840087890625
    2020 "Utilities"              "RUI FP Equity"  -27417.535660399997 3.7390619345187344  .29233754288695174    -.5518642857142857 116.00701255122696  30  -.30630136986301376  -.06830521436750278  -.23799615549551098  2.7504000663757324 1276.4840087890625
    2010 "Consumer, Non-cyclical" "OR FP Equity"         -185945.90519  4.698365601939414  .06618145521844912    -.4114836808501139  57.95187555563496 101   .06512820512820511  .008407724095638336   .05672048103256677   3.819999933242798   7907.10009765625
    2011 "Consumer, Non-cyclical" "OR FP Equity"         -172155.29054   4.68717938204555  .04275512331704992    -.4542322834645669  72.30912727215497 102  -.05614035087719295  -.17593742540553448   .11979707452834153   4.110000133514404     8681.900390625
    2012 "Consumer, Non-cyclical" "OR FP Equity"   -161414.95418000003  4.797735618642889 .008397983129535503    -.4422359382083203 109.65507926952128 103      .28239608801956   .15270455152162302     .129691536497937   4.789999961853027     9103.599609375
    2013 "Consumer, Non-cyclical" "OR FP Equity"   -191858.48448999997  4.884193035818653 .010984847258160102    -.4818470691636807 117.81953912834577 104   .21734985700667298    .1719018046166907  .045448052389982285   4.949999809265137     8311.400390625
    2014 "Consumer, Non-cyclical" "OR FP Equity"         -169883.49137  4.887650453966081  .08073602255854867     -.323673170135636  81.34797535006692 105   .09083790133124517 .0001374533480348762    .0907004479832103   8.510000228881836              10240
    2015 "Consumer, Non-cyclical" "OR FP Equity"   -211829.14635000002  4.939350314154527 .023191036833346678   -.46545763328683204 156.29204177847578 106   .11486001435750179   .09094921821769045   .02391079613981134   5.920000076293945    11094.400390625
    2016 "Consumer, Non-cyclical" "OR FP Equity"          -190730.1027  4.987313422236013  .03549236321996509    -.5901539055959817 119.87289184192018 107   .11654861558274303   .05385759583621944   .06269101974652358   5.550000190734863    11971.900390625
    2017 "Consumer, Non-cyclical" "OR FP Equity"         -183658.07705  5.015046857628885  .03323231208491445     -.522337633327749 101.89742538659057 108   .06630152781781494   .11582835943811336  -.04952683162029842   6.400000095367432    11451.400390625
    2018 "Consumer, Non-cyclical" "OR FP Equity"   -257678.43795000002  5.051525492626226  .03227718910485601    -.5291882733480515   189.094500159694 109   .08786158421194919   -.1225479484884155    .2104095327003647   6.960000038146973    12684.400390625
    2019 "Consumer, Non-cyclical" "OR FP Equity"         -244107.22322  5.168329337468359  .06589164981351203    -.5922933333333333 264.74281428823645 110     .312127236580517   .27335639201198264   .03877084456853436   6.663000106811523    12749.400390625
    2020 "Consumer, Non-cyclical" "OR FP Equity"         -200433.87556  5.240569432772762 .058396721619743665    -.6147499579053712  355.6087318003117 111    .1772727272727273  -.06830521436750278   .24557794164023009   6.369999885559082    13870.400390625
    2010 "Industrial"             "DG FP Equity"    -290197.7801600001 4.3427869109855175  .34828905291669326    -.5084182667943015  41.94360797856899 111  .030656194578160652  .008407724095638336  .022248470482522317  3.3499999046325684    30229.400390625
    2011 "Industrial"             "DG FP Equity"         -262675.33444  4.261001370980183  .33701250676844646    -.4971905687129129  77.35859496882156 112  -.19079578139980827  -.17593742540553448 -.014858355994273792  3.5199999809265137    30560.099609375
    2012 "Industrial"             "DG FP Equity"          -222569.6333  4.285183177599361  .31853115606466814    -.5106937923839332   31.5365617990286 113  .043831640058055094   .15270455152162302  -.10887291146356792   3.569999933242798              30547
    2013 "Industrial"             "DG FP Equity"          -283967.8488  4.424519061680368   .3224205720083709    -.5061162079510704   65.5015803967279 114   .32703003337041153    .1719018046166907   .15512822875372084   3.569999933242798              33018
    2014 "Industrial"             "DG FP Equity"          -244640.9464 4.4019960532708895  .32831984769157546    -.5096540627514079   67.5671703453085 115  -.04631181894383908 .0001374533480348762 -.046449272291873955    4.46999979019165              31135
    2015 "Industrial"             "DG FP Equity"          -205013.5797   4.51559307692524   .3055175631969363    -.4980449657869013  60.64364146054058 116   .29949461656778736   .09094921821769045   .20854539835009692   3.690000057220459              31598
    2016 "Industrial"             "DG FP Equity"          -189136.5617   4.55489993666689   .3164092976696942   -.41996007984031936  45.81375871014915 117   .09401420358471428   .05385759583621944   .04015660774849484   4.519999980926514              35213
    2017 "Industrial"             "DG FP Equity"   -256997.59689999998  4.674399048058065   .3076228815380428    -.4357480888241718  97.45284325979348 118     .317092034029389   .11582835943811336   .20126367459127564   4.949999809265137              35556
    2018 "Industrial"             "DG FP Equity"          -326940.5727  4.601563254478058   .3217484772482981    -.4663090848139457  63.37205286040689 119  -.15419847328244285   -.1225479484884155  -.03165052479402734   5.380000114440918              37542
    2019 "Industrial"             "DG FP Equity"          -311616.6717  4.739729366121631   .3560153139020832   -.46134969325153374 125.54200435199044 120    .3746181616217718   .27335639201198264   .10126176960978917   5.880000114440918              45926
    2020 "Industrial"             "DG FP Equity"          -316981.4987  4.660194950458198    .356507431580102    -.5587761674718197 166.09940147225802 121   -.1781818181818182  -.06830521436750278  -.10987660381431541  2.2300000190734863              44350
    2010 "Consumer, Cyclical"     "STLA FP Equity"                   .                  .                   .                     .                  .   0                    .  .008407724095638336                    .                   .                  .
    2011 "Consumer, Cyclical"     "STLA FP Equity"                   .                  .                   .                     .                  .   0                    .  -.17593742540553448                    .                   .                  .
    2012 "Consumer, Cyclical"     "STLA FP Equity"                   .                  .                   .                     .                  .   0                    .   .15270455152162302                    .                   .                  .
    2013 "Consumer, Cyclical"     "STLA FP Equity" -231125.71280000004                  .   .3472263627399271 -.0011061946902654867                  .   0                    .    .1719018046166907                    .                   .              19514
    2014 "Consumer, Cyclical"     "STLA FP Equity"        -254981.2905                  .  .33340912910656556                     0                  .   0                    . .0001374533480348762                    .                   .              22847
    2015 "Consumer, Cyclical"     "STLA FP Equity" -219025.76289999997                  .   .2627443193100905    -.8473053892215568                  .   0                    .   .09094921821769045                    .                   .              24736
    2016 "Consumer, Cyclical"     "STLA FP Equity"        -210964.3427                  .  .23047065926799115  -.009983361064891847                  .   0                    .   .05385759583621944                    .                   .              26644
    2017 "Consumer, Cyclical"     "STLA FP Equity"        -342950.8742                  .  .18661668345465685 -.0002864508736751647                  .   0                    .   .11582835943811336                    .                   .              24932
    2018 "Consumer, Cyclical"     "STLA FP Equity"         -313246.137                  .  .14996954775840535 -.0002771618625277162                  .   0                    .   -.1225479484884155                    .                   .              25719
    2019 "Consumer, Cyclical"     "STLA FP Equity"        -257037.3289                  .  .13158377871159888    -.4614919963757173                  .   0                    .   .27335639201198264                    .                   .              26704
    2020 "Consumer, Cyclical"     "STLA FP Equity"        -294584.6468                  .  .21174170259701194                     0                  .   0                    .  -.06830521436750278                    .                   .              25574
    2010 "Consumer, Non-cyclical" "ALD FP Equity"                    .                  .                   .                     .                  .  64                    .  .008407724095638336                    .                   .                  .
    2011 "Consumer, Non-cyclical" "ALD FP Equity"                    .                  .                   .                     .                  .  65                    .  -.17593742540553448                    .                   .                  .
    2012 "Consumer, Non-cyclical" "ALD FP Equity"                    .                  .                   .                     .                  .  66                    .   .15270455152162302                    .                   .                  .
    2013 "Consumer, Non-cyclical" "ALD FP Equity"                    .                  .                   .                     .                  .  67                    .    .1719018046166907                    .                   .                  .
    2014 "Consumer, Non-cyclical" "ALD FP Equity"         -28619.74469                  .   .7243999235976993                     0                  .  68                    . .0001374533480348762                    .   9.300000190734863  195.3000030517578
    2015 "Consumer, Non-cyclical" "ALD FP Equity"   -36884.52114999999                  .   .6828340889293003   -.23591798255950977                  .  69                    .   .09094921821769045                    .                10.5 211.60000610351563
    2016 "Consumer, Non-cyclical" "ALD FP Equity"         -33572.79384                  .    .695174135266849    -.2921633769786985                  .  70                    .   .05385759583621944                    .  12.699999809265137  453.3999938964844
    2017 "Consumer, Non-cyclical" "ALD FP Equity"  -20463.220520000003 3.7175871720342655   .7129232596055074    -.2741367159971811 16.003300684044458  71                    .   .11582835943811336                    .   1.399999976158142  563.2000122070313
    2018 "Consumer, Non-cyclical" "ALD FP Equity"         -67734.79843 3.6231077804076848    .723793018925532   -.40010799136069114 24.157089699387278  72  -.19473480449090197   -.1225479484884155  -.07218685600248646  1.3799999952316284  574.5999755859375
    2019 "Consumer, Non-cyclical" "ALD FP Equity"   -67264.10763999999 3.7469290999333467   .7242016734472152    -.4147465437788018 11.713447174019466  73    .3307692307692307   .27335639201198264  .057412838757248064   1.399999976158142  616.0999755859375
    2020 "Consumer, Non-cyclical" "ALD FP Equity"   -67264.10763999999 3.7469290999333467   .7242016734472152    -.4590035307963907  28.91515365654204  74   -.1690751445086705  -.06830521436750278  -.10076993014116772  1.2616000175476074  616.0999755859375
    2010 "Consumer, Cyclical"     "FDJ FP Equity"                    .                  .                   .                     .                  .  34                    .  .008407724095638336                    .                   .                  .
    2011 "Consumer, Cyclical"     "FDJ FP Equity"                    .                  .                   .                     .                  .  35                    .  -.17593742540553448                    .                   .                  .
    2012 "Consumer, Cyclical"     "FDJ FP Equity"   -7993.849824399999                  . .004397123510621629    -.8591026650174294                  .  36                    .   .15270455152162302                    .   666.9749755859375  65.24199676513672
    2013 "Consumer, Cyclical"     "FDJ FP Equity"   -6110.282929500001                  .    .014539042855192    17.679700606529874                  .  37                    .    .1719018046166907                    . -38.744998931884766  65.77999877929688
    2014 "Consumer, Cyclical"     "FDJ FP Equity"        -5498.5156596                  . .009055743771259341    -.8359259608434682                  .  38                    . .0001374533480348762                    .   795.5250244140625  74.46700286865234
    2015 "Consumer, Cyclical"     "FDJ FP Equity"   -4057.829740000001                  .  .11717934701585252   -1.3028409090909092                  .  39                    .   .09094921821769045                    .                 880  87.19999694824219
    2016 "Consumer, Cyclical"     "FDJ FP Equity"           -5161.4012                  .  .07632246730431388    -.6657443276148313                  .  40                    .   .05385759583621944                    .               903.5   96.4000015258789
    2017 "Consumer, Cyclical"     "FDJ FP Equity"  -6047.0979800000005                  .   .0624773468648061    -.7400234741784038                  .  41                    .   .11582835943811336                    .    852.010009765625 104.80000305175781
    2018 "Consumer, Cyclical"     "FDJ FP Equity"          -5264.54574 3.6580662765580914  .14551820728291318    -.8894736842105263                  .  42                    .   -.1225479484884155                    .    .699999988079071  575.4000244140625
    2019 "Consumer, Cyclical"     "FDJ FP Equity"   -9088.592620000001 3.8540210754459325   .2506814809702909   -.39026672905942916  17.51712541368078  43                    .   .27335639201198264                    .  1.1200000047683716  548.0999755859375
    2020 "Consumer, Cyclical"     "FDJ FP Equity"   -9088.592620000001 3.8540210754459325   .2506814809702909   -.39026672905942916   69.1100124042258  44    .5701993704092339  -.06830521436750278    .6385045847767367  1.1200000047683716  548.0999755859375
    2010 "Financial"              "URW NA Equity"                    .                  .                   .                     . 152.08881846363062   3  -.03708523096942088  .008407724095638336  -.04549295506505922                   .                  .
    2011 "Financial"              "URW NA Equity"                    .                  .                   .                     . 136.60651104799817   4   -.0764627659574468  -.17593742540553448   .09947465944808767                   .                  .
    2012 "Financial"              "URW NA Equity"                    .                  .                   .                     .  225.4292231100853   5   .32039187227866456   .15270455152162302   .16768732075704154                   .                  .
    2013 "Financial"              "URW NA Equity"                    .                  .                   .                     . 130.19437636954078   6  .023632866172025344    .1719018046166907  -.14826893844466535                   .                  .
    2014 "Financial"              "URW NA Equity"                    .                  .                   .                     .  146.3574043487118   7    .1428187919463087 .0001374533480348762    .1426813385982738                   .                  .
    2015 "Financial"              "URW NA Equity"                    .                  .                   .                     .  187.2491563479381   8   .10124500822175246   .09094921821769045  .010295790004062014                   .                  .
    2016 "Financial"              "URW NA Equity"                    .                  .                   .                     . 186.62447403192405   9  -.03263651877133108   .05385759583621944  -.08649411460755052                   .                  .
    2017 "Financial"              "URW NA Equity"         -188693.7698   4.32159640085358  .38329825859716476   -.41742160278745644 127.14932437975713  10   -.0728476821192053   .11582835943811336  -.18867604155731865  24.459999084472656  694.5999755859375
    2018 "Financial"              "URW NA Equity"          -239952.715  4.272405048016525  .39341394016786724       -1.046649209582 288.02026424225573  11   -.3552380952380952   -.1225479484884155   -.2326901467496797   8.420000076293945  3993.300048828125
    2019 "Financial"              "URW NA Equity"  -162459.94116000002  4.289208684802129  .41444421197725656   -1.3540288226230401 160.13343728125415  12   .03877400295420975   .27335639201198264   -.2345823890577729    7.96999979019165  3862.800048828125
    2020 "Financial"              "URW NA Equity"  -147782.64695999998 3.9524455855449743   .4946034938492749     .1036242131824862 492.04180608930955  13   -.5408460718094561  -.06830521436750278   -.4725408574419533 -52.099998474121094   2124.39990234375
    2010 "Consumer, Non-cyclical" "KORI FP Equity"       -8279.8825131 2.7234088740782214   .2945048461506798    -.7626362936240931 15.881801014233647   7  -.17749784819925396  .008407724095638336   -.1859055722948923   .7020000219345093 1268.0780029296875
    2011 "Consumer, Non-cyclical" "KORI FP Equity" -7263.4752751999995 2.6144703014021826   .3159743264965759    -.8966726660205824 24.487318275687382   8   -.2491031563733966  -.17593742540553448  -.07316573096786214   .6187999844551086 1371.6180419921875
    2012 "Consumer, Non-cyclical" "KORI FP Equity" -5565.2352716000005 2.6548605704213406  .32472223043650084   -.19476669244650685  9.952082850916234   9  .008345860338270162   .15270455152162302  -.14435869118335284   .6280999779701233 1324.7039794921875
    2013 "Consumer, Non-cyclical" "KORI FP Equity" -6713.3316429999995  2.855329951046956   .3329687429184355    -.2665523516237402  49.00031521875236  10    .5492818912776064    .1719018046166907    .3773800866609157   .7666000127792358 1400.9639892578125
    2014 "Consumer, Non-cyclical" "KORI FP Equity"       -16800.957128 3.3777097170003745   .3265588109419193   -.48777222711986157 27.665495731360945  11    .4667287134751997 .0001374533480348762    .4665912601271648   .7111999988555908   3330.89794921875
    2015 "Consumer, Non-cyclical" "KORI FP Equity"      -19462.7014225 3.4273716129402914  .37531480771902714    -.5921010035610229  20.32014288815345  12   .11523225341559677   .09094921821769045  .024283035197906325   .6834999918937683   3408.26806640625
    2016 "Consumer, Non-cyclical" "KORI FP Equity" -19276.256916799997 3.3487246793141634  .40424460251083394   -.21877784801931557  35.42786082507402  13  -.17339689601522412   .05385759583621944  -.22725449185144356  1.5240000486373901   3893.06396484375
    2017 "Consumer, Non-cyclical" "KORI FP Equity"      -28843.4080367 3.3774018982666876   .4006731205205061   -.18735152212779504 22.003401430544226  14   .04507412445530623   .11582835943811336  -.07075423498280713               1.875  3978.443115234375
    2018 "Consumer, Non-cyclical" "KORI FP Equity"      -29511.8819218  3.406169986772053  .42946927676588004   -.20193611785630172  35.94046884198601  15   .05552491469584662   -.1225479484884155   .17807286318426213   1.394700050354004   4134.64111328125
    2019 "Consumer, Non-cyclical" "KORI FP Equity"      -24961.7127336 3.5400752192080724   .5949932530279094   -.21500510110654775  37.21833428868575  16    .3487802584047736   .27335639201198264   .07542386639279097  1.2839000225067139   4448.01416015625
    2020 "Consumer, Non-cyclical" "KORI FP Equity"      -24961.7127336 3.5400752192080724   .5949932530279094    -.6258121827411168  71.43628835131106  17  -.19058454052630078  -.06830521436750278    -.122279326158798   .4560999870300293   4448.01416015625
    2010 "Energy"                 "FP FP Equity"       -1344125.636059  5.095246147440393   .2105373022168413   -.48226278999289934 36.260363446701724  86  -.11898677924675044  .008407724095638336  -.12739450334238878   6.274899959564209   11918.4619140625
    end
    Thank you for your help.
    Attached Files

    Lucas BORDURE
    Student MSc. in International Finance
    Rennes School of Business
    Stata SE 16.1

  • #2
    The point of creating year dummy variables is simply to control effect of year to year changes that cannot be attributed to your other variables. Using a dummy variable in a regression is easy. Just put an "i." in front of the YEAR variable in your regression command like reg yourdepvar i.YEAR yourindvar2 yourindvar3...."i." is factor notation with lots of other options for interactions. type help factor for more info.

    Comment


    • #3
      Lucas:
      as an aside to Oscar's helpful advice, -i.year- predictor is of remarkable importance when (as it seems from the screenshot you posted) you're dealing with panel data regresseion with fixed effect, as -i.year- explores the role of time within the same panel over the time horizon specified by -timevar-.
      Kind regards,
      Carlo
      (Stata 16.0 SE)

      Comment


      • #4
        Thank you for your answer Oscar Ozfidan and Carlo Lazzaro. It's a real pleasure to be helped like this.


        Oscar Ozfidan:
        I followed the formula you put: reg yourdepvar i.YEAR yourindvar2 yourindvar3....
        I wroted the formula in the command
        Code:
        reg MARKETADJUSTEDRETURN i.YEAR EVA SIZE LEVERAGE VOLATILITY PoR GROWTH
        I obtained the following result [see the picture below].
        Click image for larger version

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        I observed two problems:
        1:
        I didn't get the same structure of results as the picture I shared in my post.
        I didn't get the result like this [see the picture below]
        Click image for larger version

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        2:
        I followed the formula you put to get information about i. and its role as as factor notation
        Code:
        help factor
        .
        I didn't get any explanation about i. and his role as factor notation. [see the picture below]
        Click image for larger version

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        Carlo Lazzaro:
        What is the role of -timevar-?
        Do I need to apply -timevar- in a formula?

        Lucas BORDURE
        Student MSc. in International Finance
        Rennes School of Business
        Stata SE 16.1

        Comment


        • #5
          you do not want "help factor"; you want
          Code:
          help fvvarlist
          also, please follow the advice in the FAQ, esp that on how and what to post

          Comment


          • #6
            Lucas:
            I do share Rich's wise advice.
            That said, -i.time- investigates the role of years, taken as categorical variables in explaining the variations in the regressand (when adjusted for the other predictors).
            What you're possibly mistaking is that your template resembles a fixed effect panel data regression (as per within R-sq).
            I'm under the (hopefully wrong) impression that you have a poor smattering of econometrics and statistics at large. It that were the case, you can take a look at -xtreg- and related references.
            Eventually, as you reveal to be a MSc student in Finance, what is your teacher/mentor/supervisor's take about your research approach?
            Kind regards,
            Carlo
            (Stata 16.0 SE)

            Comment


            • #7
              Thank you Rich Goldstein and Carlo Lazzaro for your comments.
              Indeed, I need to check deeply FAQ, help fvvarlist, and increase my knowledge in econometrics and statistics with the help of my supervisor before posting on this forum.

              Lucas BORDURE
              Student MSc. in International Finance
              Rennes School of Business
              Stata SE 16.1

              Comment

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