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parametric_ols.do
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clear
* Import data
import delimited D:\Users\saketh\Documents\GitHub\Order-Routing-PFOF\data\processed\regression_data_levels.csv
* Update data
drop if ordertype != "Market"
egen id = group(broker marketcenter exchange)
gen qd = quarterly(quarter, "YQ")
gen all_avgt_rd = all_avgt * rebate_dummy
gen primp_avgt_rd = primp_avgt * rebate_dummy
gen primp_expamt_rd = primp_expamt * rebate_dummy
gen primp_avgamt_rd = primp_avgamt * rebate_dummy
gen primp_pct_rd = primp_pct * rebate_dummy
** Regressions
xtset id
* Reg 1
xtreg mktshare primp_pct primp_pct_rd primp_avgamt primp_avgamt_rd ///
primp_avgt primp_avgt_rd, fe
estimates store n1
xtreg mktshare primp_pct primp_pct_rd primp_avgamt primp_avgamt_rd ///
primp_avgt primp_avgt_rd, re
hausman n1
if r(p) < 0.05 {
xtreg mktshare primp_pct primp_pct_rd primp_avgamt primp_avgamt_rd ///
primp_avgt primp_avgt_rd, fe vce(robust)
estimates store n1
}
else {
xtreg mktshare primp_pct primp_pct_rd primp_avgamt primp_avgamt_rd ///
primp_avgt primp_avgt_rd, re vce(robust)
estimates store n1
}
* Reg 2
xtreg mktshare primp_expamt primp_expamt_rd primp_avgt primp_avgt_rd, fe
estimates store n2
xtreg mktshare primp_expamt primp_expamt_rd primp_avgt primp_avgt_rd, re
hausman n2
if r(p) < 0.05 {
xtreg mktshare primp_expamt primp_expamt_rd primp_avgt primp_avgt_rd, fe vce(robust)
estimates store n2
}
else {
xtreg mktshare primp_expamt primp_expamt_rd primp_avgt primp_avgt_rd, re vce(robust)
estimates store n2
}
* Reg 3
xtreg mktshare primp_pct primp_pct_rd primp_avgamt primp_avgamt_rd all_avgt ///
all_avgt_rd, fe
estimates store n3
xtreg mktshare primp_pct primp_pct_rd primp_avgamt primp_avgamt_rd all_avgt ///
all_avgt_rd, re
hausman n3
if r(p) < 0.05 {
xtreg mktshare primp_pct primp_pct_rd primp_avgamt primp_avgamt_rd all_avgt ///
all_avgt_rd, fe vce(robust)
estimates store n3
}
else {
xtreg mktshare primp_pct primp_pct_rd primp_avgamt primp_avgamt_rd all_avgt ///
all_avgt_rd, re vce(robust)
estimates store n3
}
* Reg 4
xtreg mktshare primp_expamt primp_expamt_rd all_avgt all_avgt_rd, fe
estimates store n4
xtreg mktshare primp_expamt primp_expamt_rd all_avgt all_avgt_rd, re
hausman n4
if r(p) < 0.05 {
xtreg mktshare primp_expamt primp_expamt_rd all_avgt all_avgt_rd, fe vce(robust)
estimates store n4
}
else {
xtreg mktshare primp_expamt primp_expamt_rd all_avgt all_avgt_rd, re vce(robust)
estimates store n4
}
* Results
esttab n1 n2 n3 n4, se r2 ar2 scalars(F)