raw_data$Harmon_both_quarter = import.harmon.data() %>%
  construct_countrypair_harmon_index(.,dates_vec = seq.Date(
    from = as.Date(min(raw_data$bis_lbs$Date)),
    to = as.Date(max(raw_data$bis_lbs$Date)),
    by = "quarter") %>% as.yearqtr())

raw_data$Harmon_one_quarter = import.harmon.data() %>%
  construct_countrypair_harmon_index(.,dates_vec = seq.Date(
    from = as.Date(min(raw_data$bis_lbs$Date)),
    to = as.Date(max(raw_data$bis_lbs$Date)),
    by = "quarter") %>% as.yearqtr(),index_status = "one")
iv_df = fin_reg_df %>% 
  filter(CountryPair %in%  countries_list$fsap_countries_pairs) %>% 
  left_join(raw_data$Harmon_both_quarter %>% 
              group_by(Date, CountryPair) %>% 
              summarise(Harmon = log(sum(1+Transposed))) %>% 
              ungroup() %>% 
              filter(quarters(Date) == "Q4") %>% 
              mutate(Date = format(Date,"%Y")),
            by = c("Date", "CountryPair"))
reg_list$iv_reg =  plm(formula = formula(paste0(reg_formula,
                                                "|.-lag(bank_gdp, 1) + Harmon")),
                       data = iv_df,
                       model = "within",effect = "twoways",
                       index = c("CountryPair","Date"))


MichaelGurkov/FinSynch documentation built on Oct. 30, 2019, 9:27 p.m.