Hi everyone, I'm currently making my thesis on short sell regulation in Europe.
To do so, I use daily bid ask spread of 100 european companies and 100 US companies.The equation looks like a modified difference-in-difference with 3 dummy variables: Group (0 for US shares, 1 for Eu shares), SSR (0 before regulation date, 1 otherwise) and Effect (1 for only Eu shares after regulation)
I would like to regress my equation via White's standard erros and covariance matrix , assuming that errors terms can be serially correlated over time but not between cross section (between shares). Is it possible to do it on SPSS? And what step need to be done?
Thanks in advance.