Dear Stata-Community,
I am running a regression to test whether firm inclusion in the CDS index (CDX IG) affects the CDS spreads. This is part of my baseline regression (later I am also conducting an event study), where dummy=1 if firm is included in the index and =0 otherwise. I also have 6 control variables included in my regression.
After running a simple OLS, I have presence of heteroskedasticity. To deal with this, I wish to conduct a weighted OLS. As there are 6 control variables, I am having issues assigning weights.
I hope you can help me out here!
Many thanks, Kristina
I am running a regression to test whether firm inclusion in the CDS index (CDX IG) affects the CDS spreads. This is part of my baseline regression (later I am also conducting an event study), where dummy=1 if firm is included in the index and =0 otherwise. I also have 6 control variables included in my regression.
After running a simple OLS, I have presence of heteroskedasticity. To deal with this, I wish to conduct a weighted OLS. As there are 6 control variables, I am having issues assigning weights.
I hope you can help me out here!
Many thanks, Kristina
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