宏观时间序列与微观面板资料之结合。

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这是一个不少人与文章常做错的问题，与大家分享，也请大家多指教。When macro time series meets micro panel data: A clear and present danger (https://www.sciencedirect.com/science/article/pii/S0140988322004182?via%3Dihub)。

1. This short note addresses a serious problem in combining macro (country-level) time series data, e.g., oil price uncertainty (OPU) or economic/trade policy uncertainty (EPU/TPU), with micro (firm-level) financial and accounting panel data, e.g., corporate leverage, investment, and innovation, to name a few. In most of the applications, the main interest is to assess the impacts of country-level explanatory variable on the firm-level dependent variable, with year fixed effects (along with other firm fixed effects, etc.) being included. Since the macro time series are the same for all firms in each year, it is straightforward to show that the macro time series variable is perfectly correlated with the year fixed effects, and thus nidentifiable. We employ three real data sets to illustrate the perfect multicollinearity issue, and our demonstrations cast doubt on the findings of several existing studies suffering from this issue. Finally, we also offer some practical ways to get around with (at least mitigate) this problem.

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关键词：时间序列 fixed effect identifiable Collinearity Applications

恭喜黄老师，内容很新颖

可以免费下载 (before November 02, 2022) https://authors.elsevier.com/c/1fl2OW3fcsRpM 。

黄老师，认真研读了您的这篇论文，深受启发！有一个问题还想继续请教您，第一个解决方案中，有提到可以用month dummy variables 去替代 year dummy variables，我的困惑在于，核心解释变量会被year fixed effects capture掉，是不是会被更微观的month fixed effects  capture得更严重呀

maturing 发表于 2022-11-1 17:17
黄老师，认真研读了您的这篇论文，深受启发！有一个问题还想继续请教您，第一个解决方案中，有提到可以用m ...

应该不会！

请问～您知道怎么在stata 代码操作，找这个变量数据前面5年有没有出现过，比如2008到2018年数据是123443625892年4这个在前面5年出现过就是1，3这个数在前面5年出现过就是1

Zhuyaoy 发表于 2022-11-11 23:29
请问～您知道怎么在stata 代码操作，找这个变量数据前面5年有没有出现过，比如2008到2018年数据是123443625 ...

1. 你若要问程序，请用 (ssc install) dataex 附上相关`代表性’资料 (请尽量不要用截图或其他格式)，以供回答者实验之用。请参考说明 https://bbs.pinggu.org/thread-5048204-1-1.html 或https://zhuanlan.zhihu.com/p/29911577。2. 请将你要的结果也展示一下 (无法理解你要的东西)。

黄老师您好，想邀请您回答这个问题，感谢。https://bbs.pinggu.org/thread-11249114-1-1.html