Hi, I am currently writing my master thesis on early indicators of bank failure. For this I have calculated probability of default as my dependent variable and have around 15 different financial ratios as explanatory variables, I have also included two measures of interest sensitivity as possible independent variables.
My data consists of 125 companies over 20 years. I'm using STATA and need help with how I should format my data from excel. I'm also unsure of which kind of regression is best suited for my data. I've tried reading Econometric Analysis of Cross Section and Panel Data by Woolridge but I'm feeling a bit lost.
Attached is the Excel file.
Thank You for the help!
You ought to speak with your thesis advisor. Otherwise you may follow some advice that will not be considered acceptable by your advisor and university. If your advisor does not know, either switch topics or get a new advisor.
Panel data regression, also known as fixed-effects regression, is a statistical method used to analyze data that vary over both time and cross-sectional units. This method is appropriate for data where we have repeated observations of the same individuals, firms, or countries over time.
In fixed-effects regression, we control for time-invariant differences across cross-sectional units by including individual-specific effects as fixed effects in the regression model. This helps to remove any confounding factors that might affect the dependent variable but do not vary over time.
To format panel data for STATA, you need to use the "reshape" command to convert the data from a wide format to a long format. The long format has one row per observation and includes variables for the individual or entity ID, the time period, and the dependent and independent variables.
You could begin to look at scatter diagrams and calculate correlations between the dependent variable (risk of default) and the dependent variables. But, wthout knowing how you calculated the dependent variable, I doubt that it is realistc, because the probability is unlikely to vary so much for different years. If you have calculated the risk on the base of your indicators, then an econometric analysis is useless, because the results would only show you calculation.
Data Panel Regression is a combination of cross section data and time series, where the same unit cross-section is measured at different times. So in other words, panel data is data from some of the same individuals observed in a certain period of time.
- Badges
- Science topic
- Similar topics
- Methodology
- Research Methodology
- Research Papers