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st: RE: time dummy or trend


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: time dummy or trend
Date   Wed, 10 Aug 2005 19:01:06 +0100

This seems more a matter of statistical logic 
than one of Stata syntax. 

Given that you have a time variable, there seems 
little point in coarsening it to quarters. 

Also, the -int()- here presumably does
nothing. 

A regression with -date- as predictor 
would be fitting a linear trend 
component in that variable; a regression 
with -time- one that would give 
similar (but possibly better) 
performance. The b coefficient would 
differ because of the differing units. 

Keeping track of things graphically 
would enhance your understanding of
what you are doing. 

Nick 
n.j.cox@durham.ac.uk 

Neuling,MM (pgt)
 
> i have little experience with stata8 and hope one of you may 
> help me...
>  
> i have a time series regression with several explanatory 
> variables, the dependent variable being trend-stationary... i 
> have generated the following variable to account for the 
> trend in the process and to inlcude it in the regression:
> 
> gen date = quarterly(time, "yq")
> 
> tsset date, quarterly
> 
> gen time_ind= int(date)
> 
> when i run the regression with the "time_ind" included as 
> explanatory variable, does it take care of the trend and is 
> it a trend or time dummy?

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