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st: Re: zscores in xt data


From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: Re: zscores in xt data
Date   Mon, 3 Jan 2005 09:00:07 -0500

If you want to create standardized variables over subsets of xt data, it is not clear to me that calculating them for each time period would be the obvious way to do it. The major source of variation in the data might be along the cross-sectional dimension. Consider xt data on US cities: the variation in, say, mean population among the 20 largest cities is much greater than the variation over the last 10 years in mean city size. So you might want to consider doing the z-scoring by i, rather than by t.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html

On Jan 3, 2005, at 2:33 AM, statalist-digest wrote:


I would like to ask for advice in using standardized variables (z-scores) in
cross-sectional time series analysis (xtreg).

Should z-scored be calculated over the entire sample, or should different
z-scores be calculated for each time period?

The argument for calculating z-scores by time period would focus on keeping
variables "within context."
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