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st: comparing time series with xtregar


From   "FEIVESON, ALAN H. (AL) (JSC-SD) (NASA)" <alan.h.feiveson1@jsc.nasa.gov>
To   "'statalist'" <statalist@hsphsun2.harvard.edu>
Subject   st: comparing time series with xtregar
Date   Tue, 1 Oct 2002 10:25:40 -0500

Hello - I am thinking of using -xtregar, fe- to compare 4 time series
(assumed to be AR1 - ha!) to see if they can be considered to have arisen
from the same process. For starters,  I wish to use the simplest kind of
comparison model - to check for series-specific offsets by fitting a
fixed-effects model. Never having done this before, I have some questions.

1. Each series was observed at different unequally spaced times. So under
conditions can I get away with interpolating them to get values at common
equally spaced points?

2. These series all exhibit some sort of trend, but it is not linear or
easily described by an simple function of time. What if I use the average
series to represent trend, as would be the case if this were some sort of
ANOVA? For example if ybar is the variable representing the average series,
I would attempt something like

. xtregar y ybar,i(series_no) fe

What does using the average do to the standard errors? Is there a better
way?


Thanks in advance for anyone's thoughts on this.


Al Feiveson
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