[SOLVED] CS # BS1033 Lecture 3 Analysis

# BS1033 Lecture 3 Analysis
# Author: Chris Hansman
# Email: [email protected]
# Date : 21/01/21

# Installing Packages
#install.packages(tidyverse)
install.packages(ggthemes) # Install
install.packages(stargazer)
# Loading Libraries
library(tidyverse)
library(lubridate)
library(ggthemes) # Load
library(stargazer)

#Loading Todays Data
#Reading Data
sandp<-read_csv(“sandp_5com.csv”)panel<-read_csv(“panel_example.csv”)d_in_d<-read_csv(“diff_in_diff.csv”)#————————————————–## Analyzing S&P Data#————————————————–## Plotting a comparison of pricesggplot(data=sandp, aes(x=t, y=price)) +geom_point(aes(color=comnam)) sandp <- sandp %>%
mutate(date2=dmy(date))

# Plotting a comparison of prices
ggplot(data=sandp, aes(x=date2, y=price)) +
geom_point(aes(color=comnam))

#Simple Fixed Effects Regression */
com_ols <-lm(price ~ as.factor(comnam), data=sandp)summary(com_ols)#Predict Residualssandp <- sandp %>%
mutate(residuals = residuals(com_ols))

# Plotting a comparison of residualized prices
ggplot(data=sandp, aes(x=t, y=residuals)) +
geom_point(aes(color=comnam)) +
geom_line(aes(color=comnam)) +
theme_classic()+
ylim(-4,4)

# Plotting a comparison of residualized prices
#Other Themes: theme_dark, theme_bw
#ggthemes: theme_tufte, theme_economist
ggplot(data=sandp, aes(x=date2, y=residuals)) +
geom_point(aes(color=comnam)) +
geom_line(aes(color=comnam)) +
theme_minimal()+
ylim(-4,4) +
labs(x=, y= Residualized Stock Price)+
ggsave(sandp_resid.pdf)

# Two way Fixed Effects
#Simple Fixed Effects Regression */
com_ols2 <-lm(price ~ as.factor(comnam)+ as.factor(date2), data=sandp)summary(com_ols2)#Predict Residualssandp <- sandp %>%
mutate(residuals2 = residuals(com_ols2))

# Plotting a comparison of residualized prices
#Other Themes: theme_dark, theme_bw
#ggthemes: theme_tufte, theme_economist
ggplot(data=sandp, aes(x=date2, y=residuals2)) +
geom_point(aes(color=comnam)) +
geom_line(aes(color=comnam)) +
theme_classic()+
ylim(-4,4) +
labs(x=, y= Residualized Stock Price)+
ggsave(sandp_resid2.pdf, width = 10, height = 4)

##
# Panel Example
##
#x and a are correlated
ggplot(data=panel, aes(x=x_it, y=a_i)) +
geom_point()+
geom_smooth(method=lm,formula=y~x)

# Suppose we Observed a_i
a_ols <- lm(y_it ~ x_it+a_i, data=panel)summary(a_ols)#Pooled Regression without a_ipooled_ols <- lm(y_it ~ x_it, data=panel)summary(pooled_ols)stargazer(a_ols, pooled_ols, type=”text”)# Creating First Differenced Data panel_diff <- panel %>%
group_by(i) %>%
mutate(Dy_it = y_it lag(y_it)) %>%
mutate(Dx_it = x_it lag(x_it), Da_i = a_i lag(a_i)) %>%
filter(!is.na(Dy_it))

# First Difference Regression
firstdiff_ols <-lm(Dy_it ~ Dx_it, data=panel_diff)summary(firstdiff_ols)stargazer(a_ols, pooled_ols, firstdiff_ols, type=”text”)# Fixed Effects Regressionfixedeffects_ols <-lm(y_it ~ x_it+as.factor(i), data=panel)summary(fixedeffects_ols)stargazer(a_ols, pooled_ols, fixedeffects_ols, type=”text”, keep=c(“x_it”))#————————————————–## Difference in Difference Example#————————————————–##Difference in Differenced_in_d <- d_in_d %>%
mutate(D_i=state==Delaware) %>%
mutate(A_t=year==1992) %>%
mutate(DA=(state==Delaware&year==1992))

# Difference in Difference
ols_dd<- lm(leverage~DA+A_t+D_i, data=d_in_d)summary(ols_dd)# Full Modelols_ddfull<- lm(leverage~DA+as.factor(company_id)+as.factor(year), data=d_in_d)summary(ols_ddfull)stargazer(ols_dd, ols_ddfull, type=”text”, keep=c(“DA”))