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st: Panel Data, timevar with gaps, Stationary series


From   Vincenzo Lombardo <vl30@sussex.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Panel Data, timevar with gaps, Stationary series
Date   Fri, 14 Jul 2006 14:41:01 +0100

Hi all,
I am just joining the list..for a couple of questions:
1) I have a panel dataset; my timevar has gaps (1977...1984, then jump to 1986 each two years), but i want to tell stata that the series have no gaps, because i want to deal with spells. How to do? i have just created a variable "spell" (without using tsspell) and i gave it a sequence of numbers (from 1 up to 18), just to set (tsset) my timevar the spell variable; could this procedure be correct? I do not know how, otherwise, tell stata that my series has no gaps..How to do?

2)then, i have to perform stationary test; one feasible for me is the Im, Pesaran and Shin (ipshin), but this test only works throughout all the sample (i.e. using all the time variables) if there are no gaps; could I use as timevar my "spell" var, above described? Could there be some problems, related to the fact that my original series has gaps and i replaced it with one without? or better, for instance, i have yearly data from 1977 to 1984, then from 1986 to 2004 I have data each two years (i.e. 1987, 1989, 1991, 1993, and so on), but i set continously my spell variable (1...18). could I perform my test?what could be the problems?

thanks a lot for helping me.

--
Vincenzo Lombardo
University of Sussex, Dept. of Economics
University of Napoli Parthenope, DSE
12 Canfield Road
BN2 4DN Brighton - UK
tel. (UK):++44(0)7765991711
tel. (ITALY):++393284164302
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