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st: RE: RE: time dummy or trend
the trend-stationary time series that i have is in log-first-difference... i checked the process graphically and just added a trend line: both linear as well as power two ... both seem to fit well... i dont know whether this is a good indication ... however, i think what i generated is a time line counting up in integers (1 2 3...) and hence a variable that is a linear process which should capture the trend in the dependent variable ... i ll have another look into it though and see what i can still do... thanks a lot for your help ... take care, matthias
From: Nick Cox [mailto:firstname.lastname@example.org]
Sent: Wed 8/10/2005 7:01 PM
Subject: st: RE: time dummy or trend
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
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.
> 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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