Dear Clyde Schechter
I am sorry that you are struggling to know my queries. Please see below:
1. I want to do two quantile regressions as below:
a). Xi t = alphai + BiMt-1 + eit,
where Xit is the returns of the individual panel i in the data, Mt-1 (as X variable) is a vector of 4 lagged variables (L_T-bills, L_Mktr, L_ev, L_Inf).
This regression is the one which i have done using the code one_id and runby.
b). Xtsystem = alpha + B1tXit + B2tMt-1 + eit .
where Xtsystem is the returns of collectively all the panels in the data, Xit(as X variable) is the same return of individual panel in the data as the equation a.
in a nut shell in regression b, the Y variable is the return(Xi) of the entire system or set of Panel firms, however, in regresson a, the Xit is the return of just one panel firm.
2. After running status verbose with runby, it gives the error for some panels as:
VCE computation failed; try a different bandwidth or bsqreg
3. the code for constant term returns the error as, "constant_term already defined"
This is the full code that I am running:
program define one_id
qreg Xi L_MTbills L_MktR L_EV L_TEDSp L_CPI_Inf, q(0.05)
foreach v of varlist L_MktR L_EV L_TEDSp L_CPI_Inf {
gen coeff_`v' = _b[`v']
gen se_`v' = _se[`v']
gen constant_term = _b[_cons]
gen se_constant = _se[_cons]
}
exit
end
runby one_id, by(FI) status
I am sorry that you are struggling to know my queries. Please see below:
1. I want to do two quantile regressions as below:
a). Xi t = alphai + BiMt-1 + eit,
where Xit is the returns of the individual panel i in the data, Mt-1 (as X variable) is a vector of 4 lagged variables (L_T-bills, L_Mktr, L_ev, L_Inf).
This regression is the one which i have done using the code one_id and runby.
b). Xtsystem = alpha + B1tXit + B2tMt-1 + eit .
where Xtsystem is the returns of collectively all the panels in the data, Xit(as X variable) is the same return of individual panel in the data as the equation a.
in a nut shell in regression b, the Y variable is the return(Xi) of the entire system or set of Panel firms, however, in regresson a, the Xit is the return of just one panel firm.
2. After running status verbose with runby, it gives the error for some panels as:
VCE computation failed; try a different bandwidth or bsqreg
3. the code for constant term returns the error as, "constant_term already defined"
This is the full code that I am running:
program define one_id
qreg Xi L_MTbills L_MktR L_EV L_TEDSp L_CPI_Inf, q(0.05)
foreach v of varlist L_MktR L_EV L_TEDSp L_CPI_Inf {
gen coeff_`v' = _b[`v']
gen se_`v' = _se[`v']
gen constant_term = _b[_cons]
gen se_constant = _se[_cons]
}
exit
end
runby one_id, by(FI) status
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