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st: general panel data/time series...

From   Kit Baum <>
Subject   st: general panel data/time series...
Date   Thu, 11 Aug 2005 15:05:40 -0400

Terra asks

I am working with unbalanced panel data for several hundred companies over a
period of years. I am inclined to use the time series operators L.varname,
L2.varname,..., L9.varname, but am not sure how to make them work within the
construct of my problem. I have used tsset to tell Stata I am working with
panel data. What I need is for L.varname to refer to varname_t-1 (which it
does), but I want to be able to change the value of 't' for each company.
For example, say I have a company with 14 years of data. I am running a
nonlinear regression and the equation specifies a 10 period model -- in my
example I want the equation to incorporate data for the company in years
5-14, 4-13, 3-12, 2-11, and 1-10 so that all possible 10-year periods for
that company are included in the regression. Is there a way to program
Stata for changing the value of t (in this case t=14, 13, 12, 11, 10) so
that I can utilize the time series operators?

No. With or without the TS operators, this will not work. If you want to run a regression that includes all possible ten-year time spans as separate panels, you will have to create them as separate panels and pretend that this firm actually appears five times with different data. When you do that, though, you really should use cluster standard errors to account for the fact that it is the same firm (and overlapping observations).

something like

webuse grunfeld, clear
drop if company>3
drop if time>10
* say we want to run all possible 7-period time spans
* for each firm: 1-7, 2-8, 3-9, 4-10
expand 2 if time==2 | time==9
expand 3 if time==3 | time==8
expand 4 if time>=4 & time<=7
reg invest mvalue, cluster(company)
* the lack of indep obs will make a big difference
* in the std errs of such a regression

Kit Baum, Boston College Economics

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