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Hi Glenn, I try to create another dummy variable today Dum1=1 if the countries are greece, ireland, portugal, spain, france, germany otherwise denote eu countries dum3=1 if the countries are uk,us, denmark, sweden, australia, canada. denote non eu countries and dum2=1 if countries are greece, irelan...

Thank You Glenn, so the others dummy can use for fixed effect, except the dummy3
regards

Dum3 is for the countries in EU region

Could you please specify it? Because I want to test whether the 5 dummy effect my resull
How can I fixed the problem
Thank you so much

Hi,
Sorry to bother you again. I already have the panel data and my supervisor asked me to choose the fixed effect . however when I choose fixed effect, it said near singular matrix. The attached below is my file
Thank you so much.

Hi,
I read the other topic about the principal component. They calculate the principal component base on those steps:
1 covariance matrix
2Calculate the eigenvectors and eigenvalues of the covariance
matrix
and last step is PC
Is it different from our syntax makepcomp?

could you please help me to create dummy for the financial crisis and debt crisis as well
if year 2008 and year 2009 is financial crisis
if year 2010 and year 2011 is debt crisis
Thank you

Hi,
I have just tried your command. I think it is the same because I got the same result when I use this command:
makepcome (cov) comp1 comp2 comp3 comp4
Thank you very much for your kind advice and your patient to explain to me.
Thank you Thank you
I love you
Best regards

I see the command in the reference: group g1 x1 x2 x3 x4 freeze(tab1) g1.pcomp(cor, eigval=v1, eigvec=m1) pc1 pc2 The first line creates a group named G1 containing the four series X1, X2, X3, X4. The second line stores the first two principal components of the sample correlation matrix in series na...

Thank you very much

Hi, I have one panel data, and I want to create dummy variable 1)Eu include Greece, Portugal, spain, ireland, france, germany, 2) non Eu US, Uk, canada, australia 3 debt countries: greece, portugal, ireland, spain, ireland 4 debt crisis period from 2010- 2011 5 financial crisis from 2008- 2009 I try...

Hi, i use this command to make principal components: freeze(tab1) aus2005.pcomp(cov, eigval=v1, eigvec=m1) pc1 pc2 pc3 pc4 because I need only the first four PC so I stored the first four PCs so that i can run the OLS regression Is it right? and this is my model for ols: Rj,t = ∑i=1 10 βj,t PCi,t + ...

Hi,
I used this command to make the principal component:
freeze(tab1) aus2005.pcomp(cov, eigval=v1, eigvec=m1) pc1 pc2 pc3 pc4
when I got the series PC1 to PC4, I run OLS regression using this model:
Rj,t = ∑i=1 5 βj,t PCi,t + εj,t
Is it alright?
regards

Hi, my mistake, I think I run the regression between the return index of each countries and the return of bond portfolio. therefore, i need the weight of the portfolio bond. they suggest to calculate the covariance matrix using the return index,once the eigenvectors are computed and sorted from the ...

You mean I don't need the eigenvalues/eigenvectors, I just need the score?But I think I need the eigenvectors to run the OLS regression. I have 10 PC and each PC contains the others 4 figures
Regards