Hello everyone,
I have a question regarding the xtreg function in Stata 18.0. I am working with daily stock return data on 74 different event days with approx. 2000 different firms. I am investigating the impact of monetary policy surprises on stock returns. Below is an excerpt of my dataset (I have excluded the control variables in my dataset for clarity).
I want to run regressions using the xtreg command, and I want to control for both firm fixed effects (variable permno is my firm identifier) and time fixed effects. I have read conflicting things online on how to do this.
What I have currently done is the following:
which has produced the following coefficients:
My question is, am I currently controlling for firm fixed-effects and time fixed-effects in my model? I am worried that I have not adequately done so because my Adjusted R-squared is quite low.
I have seen other posts which say I need to include i.date in my regression command in order to control for time fixed-effects:
However, when I do this my coefficients completely change and the magnitude and signs become non-sensical. However, the Adjusted R-squared increases significantly:
Could someone please let me know if what I currently have is correct, or if I am making any error in my code. I am relatively new to Stata and this is my first post on Statalist so apologies if what I have said isn't clear. I would greatly appreciate any assistance.
Thanks in advance!
I have a question regarding the xtreg function in Stata 18.0. I am working with daily stock return data on 74 different event days with approx. 2000 different firms. I am investigating the impact of monetary policy surprises on stock returns. Below is an excerpt of my dataset (I have excluded the control variables in my dataset for clarity).
Code:
* Example generated by -dataex-. For more info, type help dataex clear input float date long permno double ret float surprise 20479 10026 -.009236 0 20529 10026 .019201 -.000103333 20571 10026 .00534 0 20620 10026 -.000922 0 20662 10026 -.001725 0 20718 10026 .008948 -.000416667 20760 10026 -.01691 -.000053571 20802 10026 -.017747 0 20851 10026 -.011758 -.000025926 20893 10026 .010285 .000048437 20942 10026 .000076 0 20984 10026 .00359 .00009375 21026 10026 -.0027 0 21082 10026 -.001948 0 21124 10026 -.006683 0 21166 10026 .008343 .000043056 21215 10026 -.003957 0 21264 10026 -.013563 .0000775 21306 10026 -.018248 0 21348 10026 .007196 -.000044118 21397 10026 -.0258 -.000025833 21453 10026 .005694 0 21496 10026 -.003185 .000034091 21537 10026 .022914 .000322917 21579 10026 -.040301 0 21628 10026 .007546 .000140909 21670 10026 .008716 -.000206897 21719 10026 .015992 .000409091 21761 10026 .003889 0 21810 10026 -.001969 -.0003125 21852 10026 -.004247 -.000025 21894 10026 .004186 0 21943 10026 .020908 .000025 21977 10026 .001342 -.002989286 21997 10026 -.124233 -.000484375 22034 10026 .084751 -.00005 22076 10026 -.016078 -.0000375 22125 10026 -.010398 0 22154 10026 .025357 -.00019375 22174 10026 -.000883 0 22224 10026 .009185 0 22265 10026 .002083 -.000051667 22307 10026 -.040204 0 22356 10026 -.001581 -.000055357 22398 10026 -.011462 -.000025 22447 10026 -.009215 .000267857 22489 10026 -.001861 0 22545 10026 .005718 0 22587 10026 .016989 .000055556 22629 10026 .022852 -.000048437 22671 10026 .001653 -.000155 22720 10026 .013339 -.000258333 22769 10026 -.015536 -.000143519 22811 10026 .017982 .00035 22853 10026 .003448 -.0003875 22909 10026 .004593 -.000416667 22951 10026 -.009013 -.000026786 22993 10026 -.006874 0 23042 10026 -.030775 -.000077778 23091 10026 -.00841 .000430556 23133 10026 -.012013 .000276786 23175 10026 -.012561 -.0001875 23217 10026 -.007289 0 23273 10026 -.012247 -.00015 23315 10026 .014367 0 23357 10026 .008502 -.000043056 20851 10032 -.004972 -.000025926 20893 10032 .017902 .000048437 20942 10032 -.014436 0 20984 10032 -.015266 .00009375 21026 10032 -.004191 0 21082 10032 .000553 0 21124 10032 -.012535 0 21166 10032 -.000816 .000043056 21215 10032 -.003336 0 21264 10032 -.001859 .0000775 21306 10032 .007824 0 21348 10032 -.007869 -.000044118 21397 10032 .007405 -.000025833 21453 10032 -.01294 0 21496 10032 -.011944 .000034091 21537 10032 -.008086 .000322917 21579 10032 .011482 0 21628 10032 .007685 .000140909 21670 10032 .004819 -.000206897 21719 10032 .004823 .000409091 21761 10032 .005727 0 21810 10032 -.005339 -.0003125 21852 10032 .012768 -.000025 21894 10032 .007673 0 21943 10032 -.018587 .000025 21977 10032 -.02458 -.002989286 21997 10032 .064651 -.000484375 22034 10032 .04923 -.00005 22076 10032 -.038828 -.0000375 22125 10032 .030476 0 22154 10032 -.019716 -.00019375 22174 10032 .003912 0 22224 10032 .035623 0 22265 10032 -.009124 -.000051667 end format %td date
What I have currently done is the following:
Code:
xtset permno date xtreg ret surprise esgrating esg_int_exp esg_int_sur esg_int_tim timing neg_sup_int no_change_int dt_int mkval_int bm_int roe_int ppe_int mom_int inv_int sales_int ln_mkvalt dt roe bm ln_ppe invst sgrth momntm, fe
Code:
Fixed-effects (within) regression Number of obs = 88,319
Group variable: permno Number of groups = 2,038
R-squared: Obs per group:
Within = 0.0267 min = 6
Between = 0.0118 avg = 43.3
Overall = 0.0083 max = 74
F(25, 86256) = 94.77
corr(u_i, Xb) = -0.5813 Prob > F = 0.0000
-------------------------------------------------------------------------------
ret | Coefficient Std. err. t P>|t| [95% conf. interval]
--------------+----------------------------------------------------------------
OneExpected | .0918092 .1372663 0.67 0.504 -.1772315 .3608498
surprise | -48.44583 2.379399 -20.36 0.000 -53.10943 -43.78223
esgrating | .0000183 .0000179 1.02 0.307 -.0000168 .0000534
esg_int_exp | -.00003 .0029041 -0.01 0.992 -.005722 .0056621
esg_int_sur | .0186444 .0252429 0.74 0.460 -.0308315 .0681202
esg_int_tim | .0018503 .0262529 0.07 0.944 -.0496052 .0533057
timing | -16.05397 1.215398 -13.21 0.000 -18.43614 -13.6718
neg_sup_int | 52.33743 1.533614 34.13 0.000 49.33156 55.3433
no_change_int | 10.83651 1.245357 8.70 0.000 8.39562 13.2774
dt_int | .0000201 .0000231 0.87 0.384 -.0000252 .0000653
mkval_int | -.3424101 .3010847 -1.14 0.255 -.9325334 .2477133
bm_int | .8276909 .5578829 1.48 0.138 -.2657549 1.921137
roe_int | .1996184 .2649274 0.75 0.451 -.319637 .7188738
ppe_int | .1877326 .2325846 0.81 0.420 -.2681312 .6435963
mom_int | 4.860716 1.66968 2.91 0.004 1.588158 8.133273
inv_int | -22.73963 6.750481 -3.37 0.001 -35.97051 -9.50874
sales_int | .0595276 .0226595 2.63 0.009 .0151153 .10394
ln_mkvalt | -.0007899 .0003347 -2.36 0.018 -.0014459 -.0001338
dt | -7.26e-08 4.14e-08 -1.75 0.080 -1.54e-07 8.56e-09
roe | -.0001611 .0000962 -1.67 0.094 -.0003497 .0000274
bm | .0023624 .0003866 6.11 0.000 .0016045 .0031202
ln_ppe | .0032718 .0003096 10.57 0.000 .0026649 .0038787
invst | .0008607 .0022009 0.39 0.696 -.0034531 .0051746
sgrth | -7.88e-06 6.59e-06 -1.20 0.231 -.0000208 5.03e-06
momntm | .0047439 .0007104 6.68 0.000 .0033514 .0061363
_cons | -.0091379 .0025128 -3.64 0.000 -.014063 -.0042128
--------------+----------------------------------------------------------------
sigma_u | .01127148
sigma_e | .03717523
rho | .08418993 (fraction of variance due to u_i)
-------------------------------------------------------------------------------
F test that all u_i=0: F(2037, 86256) = 1.20 Prob > F = 0.0000
I have seen other posts which say I need to include i.date in my regression command in order to control for time fixed-effects:
Code:
xtset permno date xtreg ret surprise esgrating esg_int_exp esg_int_sur esg_int_tim timing neg_sup_int no_change_int dt_int mkval_int bm_int roe_int ppe_int mom_int inv_int sales_int ln_mkvalt dt roe bm ln_ppe invst sgrth momntm i.date, fe
Code:
note: 23042.date omitted because of collinearity.
note: 23133.date omitted because of collinearity.
note: 23217.date omitted because of collinearity.
note: 23315.date omitted because of collinearity.
note: 23357.date omitted because of collinearity.
Fixed-effects (within) regression Number of obs = 88,319
Group variable: permno Number of groups = 2,038
R-squared: Obs per group:
Within = 0.1921 min = 6
Between = 0.0039 avg = 43.3
Overall = 0.1835 max = 74
F(93, 86188) = 220.37
corr(u_i, Xb) = -0.0603 Prob > F = 0.0000
-------------------------------------------------------------------------------
ret | Coefficient Std. err. t P>|t| [95% conf. interval]
--------------+----------------------------------------------------------------
OneExpected | 6.796714 .7918931 8.58 0.000 5.24461 8.348818
surprise | 26.21209 7.478254 3.51 0.000 11.55478 40.8694
esgrating | -.0000106 .0000188 -0.56 0.574 -.0000475 .0000263
esg_int_exp | -.0000325 .0026592 -0.01 0.990 -.0052445 .0051795
esg_int_sur | .0162498 .0230465 0.71 0.481 -.0289212 .0614207
esg_int_tim | -.0051134 .0240422 -0.21 0.832 -.0522359 .0420091
timing | -32.96346 6.601368 -4.99 0.000 -45.90208 -20.02483
neg_sup_int | -160.2517 19.30401 -8.30 0.000 -198.0874 -122.416
no_change_int | -610.9967 40.19729 -15.20 0.000 -689.783 -532.2103
dt_int | .0000101 .000021 0.48 0.631 -.0000311 .0000514
mkval_int | -.2354808 .2751035 -0.86 0.392 -.7746812 .3037197
bm_int | .8244886 .5089378 1.62 0.105 -.1730253 1.822002
roe_int | .2731069 .2415257 1.13 0.258 -.2002814 .7464953
ppe_int | .2344717 .2123137 1.10 0.269 -.1816613 .6506047
mom_int | 11.61357 1.564232 7.42 0.000 8.547694 14.67946
inv_int | -18.84024 6.161159 -3.06 0.002 -30.91605 -6.764417
sales_int | .0186329 .0207489 0.90 0.369 -.0220348 .0593005
ln_mkvalt | -.0012695 .0003136 -4.05 0.000 -.0018842 -.0006548
dt | -7.39e-08 3.86e-08 -1.92 0.055 -1.50e-07 1.73e-09
roe | -.0001227 .0000877 -1.40 0.162 -.0002946 .0000493
bm | .0016245 .0003619 4.49 0.000 .0009152 .0023338
ln_ppe | .0013063 .0003112 4.20 0.000 .0006964 .0019162
invst | .0008918 .0020088 0.44 0.657 -.0030454 .0048289
sgrth | -8.81e-06 6.00e-06 -1.47 0.143 -.0000206 2.96e-06
momntm | .0031732 .0007069 4.49 0.000 .0017877 .0045586
|
date |
20165 | -.0241139 .002963 -8.14 0.000 -.0299214 -.0183063
20207 | .0085938 .002341 3.67 0.000 .0040055 .0131821
20256 | .0092998 .0018791 4.95 0.000 .0056168 .0129828
20298 | .0250062 .0023411 10.68 0.000 .0204177 .0295948
20348 | -.4246875 .0223288 -19.02 0.000 -.4684517 -.3809232
20389 | .0436464 .004134 10.56 0.000 .0355439 .0517489
20438 | .0047311 .0022689 2.09 0.037 .000284 .0091782
20479 | .0354517 .0021148 16.76 0.000 .0313067 .0395967
20529 | -.0688918 .0030535 -22.56 0.000 -.0748766 -.0629069
20571 | .0170298 .0019094 8.92 0.000 .0132873 .0207723
20620 | .008701 .0015669 5.55 0.000 .0056298 .0117722
20662 | .009031 .0019097 4.73 0.000 .005288 .0127739
20718 | -.2744367 .0184158 -14.90 0.000 -.3105315 -.2383419
20760 | -.0346885 .003632 -9.55 0.000 -.0418072 -.0275699
20802 | -.0120867 .0017295 -6.99 0.000 -.0154765 -.008697
20851 | -.0061986 .0026273 -2.36 0.018 -.0113481 -.001049
20893 | .0055347 .0019237 2.88 0.004 .0017643 .0093052
20942 | .0100317 .0025066 4.00 0.000 .0051189 .0149446
20984 | -.0151237 .0020422 -7.41 0.000 -.0191265 -.011121
21026 | .0060944 .0015896 3.83 0.000 .0029789 .00921
21082 | .0208798 .0027847 7.50 0.000 .0154219 .0263377
21124 | .0082375 .0019948 4.13 0.000 .0043277 .0121473
21166 | -.0033182 .0016841 -1.97 0.049 -.0066191 -.0000173
21215 | .0067527 .0021991 3.07 0.002 .0024426 .0110629
21264 | -.0045003 .0018294 -2.46 0.014 -.008086 -.0009147
21306 | .0165483 .0021986 7.53 0.000 .0122391 .0208576
21348 | -.0142373 .0012278 -11.60 0.000 -.0166438 -.0118307
21397 | -.0113663 .0023061 -4.93 0.000 -.0158862 -.0068464
21453 | -.0106654 .0013811 -7.72 0.000 -.0133723 -.0079585
21496 | .0298993 .0020608 14.51 0.000 .0258601 .0339385
21537 | -.029314 .0027123 -10.81 0.000 -.0346302 -.0239978
21579 | .0252536 .0019295 13.09 0.000 .0214719 .0290353
21628 | .0860077 .0063951 13.45 0.000 .0734733 .098542
21670 | -.144607 .010056 -14.38 0.000 -.1643168 -.1248972
21719 | .2149152 .023774 9.04 0.000 .1683185 .261512
21761 | .0426159 .0075379 5.65 0.000 .0278417 .0573901
21810 | -.0074174 .008726 -0.85 0.395 -.0245203 .0096854
21852 | .0229671 .0036426 6.31 0.000 .0158277 .0301066
21894 | .0152268 .0019253 7.91 0.000 .0114532 .0190003
21943 | .0235284 .0021088 11.16 0.000 .0193952 .0276617
21977 | -.3990293 .0507958 -7.86 0.000 -.4985887 -.2994699
21997 | -.354512 .0205672 -17.24 0.000 -.3948235 -.3142004
22034 | .023062 .0020335 11.34 0.000 .0190762 .0270477
22076 | -.0433423 .002382 -18.20 0.000 -.0480109 -.0386736
22125 | .0346309 .0019186 18.05 0.000 .0308706 .0383913
22154 | -.1262131 .0092404 -13.66 0.000 -.1443242 -.108102
22174 | .0213518 .0019171 11.14 0.000 .0175943 .0251093
22224 | .0381453 .0019173 19.90 0.000 .0343874 .0419033
22265 | -.0286708 .0034687 -8.27 0.000 -.0354694 -.0218722
22307 | -.0080296 .0019211 -4.18 0.000 -.011795 -.0042642
22356 | -.0205193 .0036134 -5.68 0.000 -.0276015 -.0134371
22398 | -.0066356 .0019839 -3.34 0.001 -.0105239 -.0027472
22447 | .160249 .0120706 13.28 0.000 .1365907 .1839072
22489 | .0244422 .0019184 12.74 0.000 .0206821 .0282023
22545 | .0262551 .0019185 13.69 0.000 .022495 .0300153
22587 | .0589304 .002599 22.67 0.000 .0538363 .0640245
22629 | -.0051842 .0039699 -1.31 0.192 -.0129651 .0025968
22671 | -.1092571 .0082025 -13.32 0.000 -.1253339 -.0931802
22720 | .0097277 .0050864 1.91 0.056 -.0002417 .019697
22769 | -.0334608 .0053344 -6.27 0.000 -.0439163 -.0230054
22811 | -.0507068 .0098841 -5.13 0.000 -.0700796 -.031334
22853 | -.0657505 .0055766 -11.79 0.000 -.0766805 -.0548205
22909 | -.09439 .0057388 -16.45 0.000 -.1056381 -.0831419
22951 | -.08044 .0051612 -15.59 0.000 -.0905558 -.0703242
22993 | -.0282671 .0030825 -9.17 0.000 -.0343087 -.0222255
23042 | 0 (omitted)
23091 | -.0601794 .006925 -8.69 0.000 -.0737524 -.0466064
23133 | 0 (omitted)
23175 | -.1382605 .0084646 -16.33 0.000 -.1548511 -.1216699
23217 | 0 (omitted)
23273 | -.1053673 .0074523 -14.14 0.000 -.1199738 -.0907608
23315 | 0 (omitted)
23357 | 0 (omitted)
|
_cons | -.0097427 .0030525 -3.19 0.001 -.0157255 -.0037598
--------------+----------------------------------------------------------------
sigma_u | .00846049
sigma_e | .03388323
rho | .05868871 (fraction of variance due to u_i)
-------------------------------------------------------------------------------
F test that all u_i=0: F(2037, 86188) = 1.28 Prob > F = 0.0000
Thanks in advance!
Comment