在Stata中,你可以通过在变量名前加上 l. 前缀来创建滞后一期的变量。例如,如果你想要创建 variable 的滞后一期变量,可以使用以下命令: stata gen lagged_variable = l.variable 这条命令会生成一个新变量 lagged_variable,它包含了 variable 的滞后一期值。 检查滞后变量的结果是否符合预期: 为了验证新变量是否正确...
这不是lagged variable的问题，这是求面板数据中的变化率。sort company by company: gen growth = (s...
取对数差分
我们不能拒绝原假设,因此gdp不是unemp的格兰杰原因。 4 格兰杰因果检验应用案例 Granger causality: using VAR quietly var unemp gdp, lags(1/4)vargranger The null hypothesis is ‘var1 does not Granger-cause var2’. In both cases, we cannot reject the null that e...
Stata 5: How do I create a lag variable? TitleStata 5: Creating lagged variables AuthorJames Hardin, StataCorp Create lag (or lead) variables using subscripts. . gen lag1 = x[_n-1] . gen lag2 = x[_n-2] . gen lead1 = x[_n+1] ...
格兰杰因果检验应用案例 Granger causality: using VAR quietly var unemp gdp, lags(1/4)vargranger The null hypothesis is ‘var1 does not Granger-cause var2’. In both cases, we cannot reject the null that each variable does not Granger-cause the other...
If you regress ‘y’ on lagged values of ‘y’ and ‘x’ and the coefficients of the lag of ‘x’ are statistically significantly different from 0, then you can argue that ‘x’ Granger-cause ‘y’, this is, ‘x’ can be used to predict ‘y’ (see Stock & Watson -2007-, Green...
变量标签Variable Labels and Notes 文字变量处理之数据类型转换Converting strings to numerics and vice versa(encode 、decode、 destring、 tostring 等) 数据横向合并和纵向合并Append and merge(merge,包括一对一、一对多、多对一等合并,append、cross、joinby等,) ...
A problem with the original Arellano-Bond estimator is that lagged levels are poor instruments for first differences if the variables are close to a random walk(xtabond使用的工具变量有时候表现很不好). Arellano and Bover (1995) describe how, if the original equation in levels is added to the ...
CFit/Ait-1:cash flow over lagged assets DIVit/Ait-1: cash dividends over lagged assets Cit/Ait-1:cash balances over lagged assets LEVit:leverage Qit:the market value of equity (price times shares outstanding plus assets minus the book value of equity over assets). ...