// Code for "Saving Behavior and Housing Wealth - Evidence from German Micro Data" by S. Gröbel and D. Ihle // Income and House Price Process - START cd "H:\...\Datensaetze" //Enter preferred path here use hmaster_hwpanel_bearbeitet96 // Arellano Bover linear dynamic panel-data estimation xi: xtdpdsys lnrealynetinc kids lnage lnage2 d96 d97 d98 d99 d00 d01 d02 d03 d04 d05 d06 d07 d08 d09 d10 d11 d12, vce(robust) // Einkommen-Schocks und erwartete Veränderung des Einkommens generieren predict yhat, xb // yhat sind die predicted values = income expectations gen y_unexp=(lnrealynetinc-yhat) // unerwartetes Einkommen=realincome-expectedincome gen y_exp=(yhat-L_lnrealynetinc) // House Price Process (data from 1995 to 2012) clear set more off set matsize 5000 // store house prices and regional variables in short format in xls/csv table with // lrprice = log. real house price // rmort = Real mortgage interest rate // hh = Number of households // gdpemp = GDP per employee import excel "C:\...\data.xls", sheet("Dataset") firstrow case(lower) //Enter preferred path here reshape long lrprice rmort hh gdpemp, i(id) j(year) //Tests on panel stationarity: ht = Harris-Tzavalis; ips = Im-Pesaran-Shin test; fischer = Fisher-type test; llc = Levin-Lin-Chu test xtunitroot ht lrprice xtunitroot ht lrprice, trend xtunitroot ips lrprice, lags(1) xtunitroot ips lrprice, lags(1) trend xtunitroot fisher lrprice, dfuller lags(1) xtunitroot fisher lrprice, dfuller lags(1) trend xtunitroot llc lrprice, lags(1) xtunitroot llc lrprice, lags(1) trend // Blunell Bond estimator xtabond lrprice lhh rmort gdpemp, vce(robust) xtabond lrprice lhh rmort gdpemp d97 d98 d99 d00 d01 d02 d03 d04 d05 d06 d07 d08 d09 d10 d11 d12, vce(robust) // Income and House Price Process - ENDE