Hello everyone,
For my thesis, I am dealing with empirical research for the first time, and I hope this forum can help me answer a question. I greatly appreciate any input!
I am examining price differences between green bonds and conventional bonds and aim to investigate the influencing factors using a fixed effects regression.
I have a panel dataset containing both static and time-series data for the different types of bonds. In Stata, I use the daily yield difference between the two bond types as the dependent variable. The independent variables are also daily time-series data, such as the bid-ask spreads of the bonds. However, I also want to include variables like the coupon rate, seniority type, and issue amount, which are time-invariant and thus not change over time. For example, I have coded the seniority type as a dummy variable and copied the fixed coupon rate (e.g., 5%) for a bond across all days.
However, it seems these variables are not yielding any results in Stata. Am I using the wrong regression model, or is my data structure incorrectly specified? Would a random effects model be more suitable for this? However, I understand that such a model comes with additional conditions. How should these be tested?
I appreciate any help!
For my thesis, I am dealing with empirical research for the first time, and I hope this forum can help me answer a question. I greatly appreciate any input!
I am examining price differences between green bonds and conventional bonds and aim to investigate the influencing factors using a fixed effects regression.
I have a panel dataset containing both static and time-series data for the different types of bonds. In Stata, I use the daily yield difference between the two bond types as the dependent variable. The independent variables are also daily time-series data, such as the bid-ask spreads of the bonds. However, I also want to include variables like the coupon rate, seniority type, and issue amount, which are time-invariant and thus not change over time. For example, I have coded the seniority type as a dummy variable and copied the fixed coupon rate (e.g., 5%) for a bond across all days.
However, it seems these variables are not yielding any results in Stata. Am I using the wrong regression model, or is my data structure incorrectly specified? Would a random effects model be more suitable for this? However, I understand that such a model comes with additional conditions. How should these be tested?
I appreciate any help!
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