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Hi Glenn, thanks for your answer. I've already used @expand in combination with @dropfirst. It works but I'm not quite sure, if it makes what I want... Therefore I had asked the question if there are other ways of modelling. I have to take a closer look, but I think it is the solution of my problem ...

Hi,

I'm on the search for something similiar.
I have my pool data for 36 periods and need "period fixed effects" for only 35 periods - the first period is excluded.
How can I do this?
By using @seas I got the error: near singular matrix...

THANKS

Hi Glenn,

here is my workfile. I'll send you a pm with the coefficients that should result.

Thanks :)

Hi
thanks for your reply!

What do you need? the excel file, stata-do file? Can I send you the data with pm?

Hi, I need a variable that captures time dependend effets. By using period fixed effects for each quarter it doesn't work... I have time series cross sectional data, fixed effects for each country. How can I implement time dependend effects? The variable should capture the time dependend effects and...

Hi, you're right... I didn't thought about the high value of this p-value because it was just "given"... I'll take a look and then we'll see Stata code for the regression: encode country, generate (iid) i(iid) iis iid ... xi: reg interest_ exe_ growth_ debt_ i.quarter i.country, cluster (i...

Hi, p-value>1 is possible because of the two-sided p-values for non-symmetric distributions I know the results because I have the results from an estimation with Stata. I have to "re-estimate" them and after having done so, I have to do some further thing - implement new variables, add som...

Hi, I think you're right :) The problem, if I add period fixed effects by using the "estimation window" and then choose period fixed effects, the results are "good", but different from the values I should get. I've tried to use @expand(@obsid) - same problem. The resulting fixed ...

Thanks for your reply. I need a variable which one captures time-varying effects. The results should be different values for each period. If there are large variations from the underlying fundamentals, then this variable should be relative high. If these variations independent from time are only sma...

Hi, thanks for your reply. Unfortunately that's not what I really need. Perhaps I explained it wrong. I need a time-varying coefficient. This "dummy" should take values "by itself". I've got a regression and there are large unexplained parts. This variable should keep the time in...

Hi, I have to implement a dummy for period effects that are independet from the underlying fundamentals in the model. Therefore I have to reestimate a model that was originally estimated with stata. They implemented this time dummy by the command i.quarter -> "unary operator to specify indicato...

Hi,

i've got pooled data and would like to fish for a break date (or more). Is it possible to run the Quant Andrews Test / Quandt Likelihood Ratio for pooled data? Or for panel data?

Thanks for your help!

Thanks for your reply.
It works :)

Hi,
is there a possibility to perfom the pesaran cd test for pooled data? I've tried and failed until now. Can I perhaps modify the above code, or do I need something different?

I've got 15 cross-section identifiers and about 50 periods.
Many thanks

Hi again, I've searched a little about "time-dummy". If I put "@quarter" in the box for period specific coefficient it works. I get results that aren't that bad. The problem now, if I want to control for country specific effets I get the message "near singular matrix". ...