QUESTION 2 a) Discuss how to decide between a random effects regression in panel data and a simple OLS regression. [10 M
Posted: Thu May 19, 2022 6:17 am
QUESTION 2
a) Discuss how to decide between a random effects regression in
panel data and a simple OLS regression.
[10 MARKS]
b) Explain how to decide between fixed or random effects in a panel
data regression.
d) Explain the Least Squares Dummy Variable (LSDV) model and how
it solves the problem that one (or more) regressor(s) may be
correlated with the time-invariant component of the error term.
PLEASE ANSWER ALL QUESTION
Table 8 Results of the Baseline model with indirect effects of liquidity risk on CDS spread changes. (la) (1b) (2) (2b) 0.548 (0.46) 0.488 (0.41) Capital Basel III leverage Equity to Total Assets СЕТІ Total capital -0.332 (-0.79) -0.424 (-0.93) Market capital Liquidity NSFR_10 0.028 (0.91) -0.047 (-0.65) NSFR_14 0.069 (1.04) -0.019 (-0.30) Cap*NSFR 10 0.011 (0-20) 0.780** (2.03) Cap*NSFR 14 0.633 (0.94) 0.063* (1.67) Asset quality NPL/TL 0.523* (1.56) 0.526* (1.55) 0.823*** (3.16) 0.803*** (3.00) Performance Roa -0.27*** -0.28*** -0.27** -0.27 *** (-3.63) (-3.54) (-7.46) (-7.27) Business models Income 0.003*** (5.10) 0.003*** (5.17) 0.003*** (4.80) 0.003*** (4.73) Divers Size -0.16*** -0.16*** -0.17*** -0.17*** (4.17) (-3.00) (-3.02) (-4.07) Structural variables and market wide factors Equity volatility 0.004*** (5.27) 0.004*** (5.30) 0.004*** (4.98) 0.004** (5.05) Puro -1.09*** - 1.02*** - 1.16*** - 1.13*** Stoxx (-4.09) (-4.10) (-4.56) (-4.38) Term spread 0.033*** (4.86) 0.033*** (482) 0.033*** (4.62) 0.033*** (4.58) Constant 4.523*** (5.76) 4.488*** (5.75) 4.873*** (6.68) 4.801*** (6.62) Observations 841 841 854 854 Time FE Y Y Y Y R 0.868 0.868 0.876 0.876 Hausman (p-value) 0.179 0.111 0.143 0.126 BP LM Test 0.000 0.000 0.000 0.000 Mod. Wald (p-value) 0.000 0.000 0.000 0.000
a) Discuss how to decide between a random effects regression in
panel data and a simple OLS regression.
[10 MARKS]
b) Explain how to decide between fixed or random effects in a panel
data regression.
- Question 2 A Discuss How To Decide Between A Random Effects Regression In Panel Data And A Simple Ols Regression 10 M 1 (262.16 KiB) Viewed 27 times
it solves the problem that one (or more) regressor(s) may be
correlated with the time-invariant component of the error term.
PLEASE ANSWER ALL QUESTION
Table 8 Results of the Baseline model with indirect effects of liquidity risk on CDS spread changes. (la) (1b) (2) (2b) 0.548 (0.46) 0.488 (0.41) Capital Basel III leverage Equity to Total Assets СЕТІ Total capital -0.332 (-0.79) -0.424 (-0.93) Market capital Liquidity NSFR_10 0.028 (0.91) -0.047 (-0.65) NSFR_14 0.069 (1.04) -0.019 (-0.30) Cap*NSFR 10 0.011 (0-20) 0.780** (2.03) Cap*NSFR 14 0.633 (0.94) 0.063* (1.67) Asset quality NPL/TL 0.523* (1.56) 0.526* (1.55) 0.823*** (3.16) 0.803*** (3.00) Performance Roa -0.27*** -0.28*** -0.27** -0.27 *** (-3.63) (-3.54) (-7.46) (-7.27) Business models Income 0.003*** (5.10) 0.003*** (5.17) 0.003*** (4.80) 0.003*** (4.73) Divers Size -0.16*** -0.16*** -0.17*** -0.17*** (4.17) (-3.00) (-3.02) (-4.07) Structural variables and market wide factors Equity volatility 0.004*** (5.27) 0.004*** (5.30) 0.004*** (4.98) 0.004** (5.05) Puro -1.09*** - 1.02*** - 1.16*** - 1.13*** Stoxx (-4.09) (-4.10) (-4.56) (-4.38) Term spread 0.033*** (4.86) 0.033*** (482) 0.033*** (4.62) 0.033*** (4.58) Constant 4.523*** (5.76) 4.488*** (5.75) 4.873*** (6.68) 4.801*** (6.62) Observations 841 841 854 854 Time FE Y Y Y Y R 0.868 0.868 0.876 0.876 Hausman (p-value) 0.179 0.111 0.143 0.126 BP LM Test 0.000 0.000 0.000 0.000 Mod. Wald (p-value) 0.000 0.000 0.000 0.000