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st: RE: RE: time dummy or trend

From   "Neuling,MM (pgt)" <>
To   <>
Subject   st: RE: RE: time dummy or trend
Date   Wed, 10 Aug 2005 21:55:55 +0100

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 

	-----Original Message----- 
	From: Nick Cox [] 
	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.
	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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