Hi all,
I need your help. I'm really new to Stata and still learning about them every day. Currently, I'm researching the impact of invasion on currency exchange.
My data are hourly exchanges rate (during 6 weeks) between country A against 10 other countries (C). I ran the regression using country A against country 10 as the benchmark (I assume right here is FE).
Using the time of the invasion as a comparison point, I tried to give the value (T) after the invasion as 1 and before that 0.
Basically, it's like the above equation.
However, I notice that the adjusted R squared is 1, which after further searching seems like a sign of a mistake?
I also tried to introduce another T (snct_t), but still, the adjusted R sq is 0.9999.
Any idea what I did wrong? I'm very open to any suggestions.
I also attached my data.
I need your help. I'm really new to Stata and still learning about them every day. Currently, I'm researching the impact of invasion on currency exchange.
My data are hourly exchanges rate (during 6 weeks) between country A against 10 other countries (C). I ran the regression using country A against country 10 as the benchmark (I assume right here is FE).
Using the time of the invasion as a comparison point, I tried to give the value (T) after the invasion as 1 and before that 0.
Basically, it's like the above equation.
However, I notice that the adjusted R squared is 1, which after further searching seems like a sign of a mistake?
I also tried to introduce another T (snct_t), but still, the adjusted R sq is 0.9999.
Any idea what I did wrong? I'm very open to any suggestions.
I also attached my data.
Code:
.
. use "eurvsall.dta"
.
. gen inv_t=.
inv_t already defined
r(110);
.
. replace inv_t=0 if t<0
(0 real changes made)
.
. replace inv_t=1 if t>=0
(0 real changes made)
.
. reg lnclose ib(last).exccode i.inv_t* ib(last).exccode#i.inv_t*, allbaselevels
Source | SS df MS Number of obs = 7209
-------------+------------------------------ F( 19, 7189) = .
Model | 17561.4091 19 924.284687 Prob > F = 0.0000
Residual | .728934986 7189 .000101396 R-squared = 1.0000
-------------+------------------------------ Adj R-squared = 1.0000
Total | 17562.138 7208 2.43647863 Root MSE = .01007
-------------------------------------------------------------------------------
lnclose | Coef. Std. Err. t P>|t| [95% Conf. Interval]
--------------+----------------------------------------------------------------
exccode |
1 | .3336737 .0007505 444.58 0.000 .3322024 .335145
2 | .2401552 .0007505 319.98 0.000 .238684 .2416265
3 | -.0806226 .0007505 -107.42 0.000 -.0820938 -.0791513
4 | -.3050372 .0007505 -406.42 0.000 -.3065085 -.3035659
5 | 4.747329 .0007505 6325.22 0.000 4.745858 4.7488
6 | 2.181358 .0007505 2906.38 0.000 2.179886 2.182829
7 | .4045504 .0007505 539.01 0.000 .4030792 .4060217
8 | 2.225673 .0007505 2965.43 0.000 2.224202 2.227144
9 | 2.610229 .0007505 3477.80 0.000 2.608757 2.6117
10 | 0 (base)
|
inv_t |
0 | 0 (base)
1 | -.0301065 .00075 -40.14 0.000 -.0315767 -.0286362
|
exccode#inv_t |
1 0 | 0 (base)
1 1 | -.0153364 .0010607 -14.46 0.000 -.0174156 -.0132571
2 0 | 0 (base)
2 1 | .0033236 .0010607 3.13 0.002 .0012443 .0054029
3 0 | 0 (base)
3 1 | .0047335 .0010607 4.46 0.000 .0026542 .0068127
4 0 | 0 (base)
4 1 | .0256508 .0010607 24.18 0.000 .0235715 .02773
5 0 | 0 (base)
5 1 | .0069297 .0010607 6.53 0.000 .0048504 .0090089
6 0 | 0 (base)
6 1 | .0093034 .0010607 8.77 0.000 .0072242 .0113827
7 0 | 0 (base)
7 1 | -.0175084 .0010607 -16.51 0.000 -.0195877 -.0154292
8 0 | 0 (base)
8 1 | .0436059 .0010611 41.10 0.000 .0415259 .0456859
9 0 | 0 (base)
9 1 | .0545844 .0010607 51.46 0.000 .0525052 .0566637
10 0 | 0 (base)
10 1 | 0 (base)
|
_cons | .1289188 .0005307 242.92 0.000 .1278784 .1299591
-------------------------------------------------------------------------------
.
. gen sctn_t=.
(7209 missing values generated)
.
. replace sctn_t=0 if t<197
(5090 real changes made)
.
. replace sctn_t=1 if t>=197
(2119 real changes made)
.
. reg lnclose ib(last).exccode i.sctn_t* ib(last).exccode#i.sctn_t*, allbaselevels
Source | SS df MS Number of obs = 7209
-------------+------------------------------ F( 19, 7189) = .
Model | 17561.2197 19 924.274721 Prob > F = 0.0000
Residual | .91828366 7189 .000127735 R-squared = 0.9999
-------------+------------------------------ Adj R-squared = 0.9999
Total | 17562.138 7208 2.43647863 Root MSE = .0113
--------------------------------------------------------------------------------
lnclose | Coef. Std. Err. t P>|t| [95% Conf. Interval]
---------------+----------------------------------------------------------------
exccode |
1 | .3303384 .0007085 466.28 0.000 .3289496 .3317272
2 | .2403139 .0007085 339.21 0.000 .2389252 .2417027
3 | -.0810414 .0007085 -114.39 0.000 -.0824301 -.0796526
4 | -.3010054 .0007085 -424.88 0.000 -.3023942 -.2996166
5 | 4.747368 .0007085 6701.05 0.000 4.745979 4.748757
6 | 2.182675 .0007085 3080.91 0.000 2.181286 2.184064
7 | .4012244 .0007085 566.34 0.000 .3998357 .4026132
8 | 2.235704 .0007085 3155.76 0.000 2.234315 2.237092
9 | 2.618945 .0007085 3696.72 0.000 2.617556 2.620334
10 | 0 (base)
|
sctn_t |
0 | 0 (base)
1 | -.0318213 .0009238 -34.44 0.000 -.0336323 -.0300103
|
exccode#sctn_t |
1 0 | 0 (base)
1 1 | -.0147721 .0013065 -11.31 0.000 -.0173333 -.012211
2 0 | 0 (base)
2 1 | .0051198 .0013065 3.92 0.000 .0025587 .0076809
3 0 | 0 (base)
3 1 | .0094846 .0013065 7.26 0.000 .0069235 .0120457
4 0 | 0 (base)
4 1 | .0299669 .0013065 22.94 0.000 .0274058 .0325281
5 0 | 0 (base)
5 1 | .0116661 .0013065 8.93 0.000 .009105 .0142273
6 0 | 0 (base)
6 1 | .0113628 .0013065 8.70 0.000 .0088017 .0139239
7 0 | 0 (base)
7 1 | -.0185024 .0013065 -14.16 0.000 -.0210635 -.0159413
8 0 | 0 (base)
8 1 | .0401348 .0013076 30.69 0.000 .0375716 .0426981
9 0 | 0 (base)
9 1 | .0633036 .0013065 48.45 0.000 .0607425 .0658648
10 0 | 0 (base)
10 1 | 0 (base)
|
_cons | .1232012 .000501 245.93 0.000 .1222192 .1241833
--------------------------------------------------------------------------------
