Dear all,
I have a question related to the missing p-values. my regression function is xtreg yit (performance measures) CDOijt controlsit i.year, fe. However, the problem came when I used the loop command (displayed as follows) to obtain the coefficients of each CDO fixed effect, the p-value of some coefficients was missing. There will be more missing value if I cluster by company.
any suggestions on this issue will be highly appreciated!
I have a question related to the missing p-values. my regression function is xtreg yit (performance measures) CDOijt controlsit i.year, fe. However, the problem came when I used the loop command (displayed as follows) to obtain the coefficients of each CDO fixed effect, the p-value of some coefficients was missing. There will be more missing value if I cluster by company.
Code:
encode Company_id,gen(company) gen lnassets = log(Totalassets) xtset company Year tempname memhold postfile `memhold' cdo_id CDO_b CDO_pvalue using "result2_post.dta", replace levelsof CDO_id, local(levels) foreach x of local levels { quietly xtreg ROA CDO CF Leverage Investment Cashholdings lnassets i.Year if CDO_id == `x', fe matrix CDO_coef = e(b) matrix CDO_se = e(V) scalar CDO_b = CDO_coef[1, "CDO"] scalar CDO_se = sqrt(CDO_se[1, 1]) scalar CDO_pvalue = 2 * (ttail(e(df_r), abs(CDO_b / CDO_se))) post `memhold' (`x') (CDO_b) (CDO_pvalue) } postclose `memhold' use result2_post.dta, clear list
any suggestions on this issue will be highly appreciated!
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