clear all set more off set matsize 10000 *cd "/Volumes/ENRIQUE/Empirical applications/Finance and growth" cd "Y:\Allison_Williams_MoralBenito_DPD\Empirical applications\Finance and growth" use panel1.dta, clear *Set the data as a time-series encode code, generate(ts) sort code egen time=group(code) gen y=0 forvalues i=1(1)7{ replace y=`i' if year==(1900 + `i') } xtset time y sort time y *Generate the needed variables: gen liabilities = ln(100*lly) gen commercial = ln(100*btot) gen credit = ln(100*privo) gen loggov = ln(100*gov) gen logtrade = ln(100*trade) gen logpi = ln(1+pi) gen logbmp = ln(1+bmp) * time demeaning foreach v in liabilities commercial credit linitial sec gov trade lpi logbmp { bys year: egen aver = mean(`v') gen `v'_a = `v' - aver drop aver } * standarize variables foreach v in liabilities commercial credit linitial sec gov trade lpi logbmp { egen `v'_s = std(`v'_a) } log using result_empirical_application.log, replace * replication table 4 levine et al 2000: *-------------------------------------------- * liabilities xtdpd linitial_s L.linitial_s sec_s liabilities_s, dgmm( L.linitial_s sec_s liabilities_s, lag(1 ) ) xtdpd linitial_s L.linitial_s sec_s gov_s trade_s logbmp_s liabilities_s lpi_s, /// dgmm( L.linitial_s sec_s gov_s trade_s logbmp_s liabilities_s lpi_s, lag(1 ) ) * commercial central-bank xtdpd linitial_s L.linitial_s sec_s commercial_s, dgmm( L.linitial_s sec_s commercial_s lpi_s, lag(1 ) ) xtdpd linitial_s L.linitial_s sec_s gov_s trade_s logbmp_s commercial_s lpi_s, /// dgmm( L.linitial_s sec_s gov_s trade_s logbmp_s commercial_s lpi_s, lag(1 ) ) * private credit xtdpd linitial_s L.linitial_s sec_s credit_s, dgmm( L.linitial_s sec_s credit_s lpi_s, lag(1 ) ) xtdpd linitial_s L.linitial_s sec_s gov_s trade_s logbmp_s credit_s lpi_s, /// dgmm( L.linitial_s sec_s gov_s trade_s logbmp_s credit_s lpi_s, lag(1 ) ) * considering our ML estimaor *--------------------------------- * liabilities xtdpdml linitial_s sec_s liabilities_s, ylags(1) iterate(500) technique(nr 25 bhhh 25) fiml xtdpdml linitial_s sec_s gov_s trade_s logbmp_s liabilities_s lpi_s, ylags(1) iterate(500) technique(nr 25 bhhh 25) fiml * commercial central-bank xtdpdml linitial_s sec_s commercial_s, ylags(1) iterate(500) technique(nr 25 bhhh 25) fiml xtdpdml linitial_s sec_s gov_s trade_s logbmp_s commercial_s lpi_s, ylags(1) iterate(500) technique(nr 25 bhhh 25) fiml * private credit xtdpdml linitial_s sec_s credit_s, ylags(1) iterate(500) technique(nr 25 bhhh 25) fiml xtdpdml linitial_s sec_s gov_s trade_s logbmp_s credit_s lpi_s, ylags(1) iterate(500) technique(nr 25 bhhh 25) fiml log close