Import Index for Panel Regression
Posted: Tue Aug 07, 2012 5:24 am
Hello,
I am currently updating an academic paper (Can Microfinance reduce Portfolio Volatility, by Krauss & Walter, 2008).
I have to perform a fixed effect panel regression. My data are financial variables (eg ROA; ROE; ... ) on roughly 1000 microfinance institutes, over a range of 12 years, so panel data. The data are unbalanced since some institutes did not provide data for 12 years, but only for 3 years or so (I only included institutes with at least 3 years of data). I want to run a panel regression in which I regress ROA against several benchmark indices, e.g. the SP500.
I imported my data as undated panel , which was restructured by Eviews by adding Cellids.
Now I want to import the SP's 500 annual returns. However, if I import them on the page where I have also imported the data on the institutes, Eviews automatically assigns cellids, based on the institutes, to the index. If I open a new page in the workfile and import the index there, I can not perform a regression (it says sp500 not defined).
So may question is: How can I import the annual returns of the sp500 on the same page in such a manner that I can run a regression with roa regressed against the sp500.
Thank you very much in advance for your help!
Cheers
I am currently updating an academic paper (Can Microfinance reduce Portfolio Volatility, by Krauss & Walter, 2008).
I have to perform a fixed effect panel regression. My data are financial variables (eg ROA; ROE; ... ) on roughly 1000 microfinance institutes, over a range of 12 years, so panel data. The data are unbalanced since some institutes did not provide data for 12 years, but only for 3 years or so (I only included institutes with at least 3 years of data). I want to run a panel regression in which I regress ROA against several benchmark indices, e.g. the SP500.
I imported my data as undated panel , which was restructured by Eviews by adding Cellids.
Now I want to import the SP's 500 annual returns. However, if I import them on the page where I have also imported the data on the institutes, Eviews automatically assigns cellids, based on the institutes, to the index. If I open a new page in the workfile and import the index there, I can not perform a regression (it says sp500 not defined).
So may question is: How can I import the annual returns of the sp500 on the same page in such a manner that I can run a regression with roa regressed against the sp500.
Thank you very much in advance for your help!
Cheers