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st: Re: differencing


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: differencing
Date   Tue, 15 Nov 2005 07:31:34 -0500

Yes. A oft-biting bug is to have observations

year y
1998 123
1999 144
2001 192
2002 201
...

and use y[_n-1] to refer to a lagged value. That is perfectly computable, but not what you mean for 2001; the lag and difference should be undefined. You can have gaps in time series with tsset; it is the individual commands that are used after that where issues of gaps may (or may not) arise. But the use of L. and D. is a great safety feature to ensure that any inadvertent errors in the time variable will become immediately apparent.

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


On Nov 15, 2005, at 2:33 AM, Eric wrote:


If I understand the tsset stuff at all, that approach would force Gregor to come to terms with any date gaps & duplicate years which my approach glosses over. Is that right?
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