Mixed frequency in panal data

[priya sawaliya]

Hello sir,

in my panel data dependent variable is monthly excess return but independent variables are annually so i wrote same value for each month to make a monthly panel sheet. but there is no monthly variation in independent variables. is my approach is correct or should I made yearly panel sheet?

I have attached below a screenshot of my data.

Thank you

Priya

[Carlo Lazzaro]

Priya:
your choice should also consider which estimator you're planning to use: -fe- wipes out time-invariant predictors and does not behave that good when the within panel variation provided by time-varying predictors is negligible.
Two sidelights (taht overlap with FAQ):
- as you are probably already aware of, posting screenshots is not recommended;
- if you're not using the last version of Stata, you should specify it. Thanks.

[priya sawaliya]

Carlo Lazzaro sir,
Thank you for replying and apology for posting screenshot,i did not know about the policy.I initially ran hausman test which suggested me that i should use fixed effects.I can work on yearly data as well, as my dependent variable can be calculated on yearly basis.So should i switch to yearly analysis?? I am using stata 14 version

[Carlo Lazzaro]

Priya:
as an aside to my previous reply, year as time variable is a possible option.
I would check what is the customary rule for time variable in your research field.
Evantually, please call me Carlo, like all on (and many more off) this list do. Thanks.

[priya sawaliya]

Thank you Carlo and waiting for your reply.