Hi, let me explain my problem. I am trying to examine the effect of indep variable A during the GFC, which i defined as between 2007-2008. So I tried two methods. My sample period is between 2000-2013
1) I split the sample into Pre (2000-2006), During (2007-2008) and Post (2009-2013) and run the regression "reg dep A i.year" And indep variable A is 0.1216*** (Pre), 0.0523 (during) and 0.00035 (post), with no significance during during and post periods.
2) I create a GFC dummy variable that equal to 1 if the Year is 2007-2008. And interact GFC*A, I run "reg dep A GFC*A io(2008 2009).year". My result for GFC is 0.0899*** and GFC*A is 0.0495***. This imply that, during GFC, there is an incremental effect on A. Note that because GFC is a dummy, I only controlled for year effect excluding the year dummies for 2007 and 2008.
However, if I look at method 1, during GFC, it wasnt significant, moreover, the coefficient reduces. Isnt the results supposed to tally in some way? Any advice is much appreciated.
1) I split the sample into Pre (2000-2006), During (2007-2008) and Post (2009-2013) and run the regression "reg dep A i.year" And indep variable A is 0.1216*** (Pre), 0.0523 (during) and 0.00035 (post), with no significance during during and post periods.
2) I create a GFC dummy variable that equal to 1 if the Year is 2007-2008. And interact GFC*A, I run "reg dep A GFC*A io(2008 2009).year". My result for GFC is 0.0899*** and GFC*A is 0.0495***. This imply that, during GFC, there is an incremental effect on A. Note that because GFC is a dummy, I only controlled for year effect excluding the year dummies for 2007 and 2008.
However, if I look at method 1, during GFC, it wasnt significant, moreover, the coefficient reduces. Isnt the results supposed to tally in some way? Any advice is much appreciated.