Submitted by: Submitted by cygo
Views: 302
Words: 1027
Pages: 5
Category: Other Topics
Date Submitted: 04/16/2012 04:34 AM
* 6 Issues in linear regressions
set mem 100m
set matsize 4000
*log using e:\0Teaching\1Empirical\log120413.smcl
use e:\0Teaching\1Empirical\Data_Compustat2006_2008.dta, clear
gen cusip8=substr(cusip,1,8)
label var cusip8 "8-digit CUSIP"
ta fyear
rename fyear year
drop if year==2005
// merge with market cap data
merge 1:1 cusip8 year using "e:\0Teaching\1Empirical\mktcap2006_2008.dta"
keep if _merge==3
drop _merge
* Generating Tobin's q
mvencode pstkl, mv(0) override
egen mve=rowmean(q1mc-q4mc)
gen qcp=(mve+pstkl+lct-act)/at
sum qcp, det
gen qgim=(at+mve-seq-txdb)/at
sum qgim, det
gen sic1=substr(sic,1,1)
destring gvkey, replace
merge 1:1 gvkey year using "e:\0Teaching\1Empirical\entropy2006_2008.dta"
keep if _merge==3
drop _merge
ta nseg
sum entropy, det
pwcorr qcp qgim entropy, st(10) sig
// Generating log variables
gen lat=log(at)
hist lat, norm
gen lsale=log(1+sale)
sum emp, det
gen lemp=log(1+emp)
mvencode xad, mv(0) override
mvencode xrd, mv(0) override
hist xad
gen lxad=log(1+xad)
hist lxad, norm
hist xrd
gen lxrd=log(1+xrd)
hist lxrd, norm
// Generating ratios
gen roa=ni/at
sum roa, det
hist roa
drop if roa<-1 | roa>1
hist roa
gen cr=act/lct
sum cr, det
gen dr=lt/at
sum dr, det
gen adint=xad/sale
sum adint, det
gen rndint=xrd/sale
sum rndint, det
drop if rndint>4
* xtset
*xtset gvkey year
egen firmid=group(gvkey)
xtset firmid year
* Set the omitted category
char _dta[omit] "prevalent"
* OLS - baseline
xi: reg roa lat cr dr adint rndint entropy i.sic1 i.year
predict yhat, xb
est store baseline
outreg2 using "e:\0Teaching\1Empirical\week6_base.out", bdec(4) tstat excel 2aster bracket adjr2 replace
*Testing the size of coefficients
test adint==rndint
* Check for multicollinearity & heteroskedasticity
estat vif
estat hettest
* Standardized coefficients
xi: reg roa lat cr dr adint rndint entropy i.sic1 i.year, beta
outreg2 using...