Hansen99: A balanced panel of 565 US firms observed for the years...
In PSTR: Panel Smooth Transition Regression Modelling

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A dataset containing a balanced panel data of annual observations over the period 1973-1987 (15 years) for 560 US firms for the variables described below.

Hansen99

A tibble with 7840 rows and 20 variables:

cusip: Committee on Uniform Security Identication Procedures firm code number, the first 6 digits (CNUM)
year: 2-digit year of the data
inva: investment to assets ratio
dt_75: dummy variable for 1975
dt_76: dummy variable for 1976
dt_77: dummy variable for 1977
dt_78: dummy variable for 1978
dt_79: dummy variable for 1979
dt_80: dummy variable for 1980
dt_81: dummy variable for 1981
dt_82: dummy variable for 1982
dt_83: dummy variable for 1983
dt_84: dummy variable for 1984
dt_85: dummy variable for 1985
dt_86: dummy variable for 1986
dt_87: dummy variable for 1987
vala: lagged total market value to assets ratio ("Tobin's Q")
debta: lagged long term debt to assets ratio
cfa: lagged cash flow to assets ratio
sales: lagged sales during the year (million USD)

The structure of the dataset is such that the time index runs “fast”, while the firm index runs “slow”; that is, first all 14 observations for the first firm are given, then the 14 observations for the second firm, etc.

Since we used one year lagged variables of "vala", "debta", "cfa" and "cfa" as regressors, the records in 1973 are skipped.

All values are nominal and millions of dollars except where otherwise noted. Stocks are end of year.

http://www.ssc.wisc.edu/~bhansen/progs/joe_99.html

PSTR documentation built on June 4, 2019, 1:03 a.m.