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st: RE: Regression analysis using monthly data


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Regression analysis using monthly data
Date   Thu, 29 May 2008 14:53:57 +0100

I am not clear what level of support you seek and whether Statalist is
the best medium to provide it. But in a word, seasonality is likely to
be part of what you see in monthly data. Seasonality is either a
distraction or a matter of great interest, depending on the researcher
and the problem. If it was a matter of great interest to you, you
probably wouldn't be asking this. But it will be there nevertheless. If
it really isn't, you can collapse to yearly data without much loss. 

A -search- on season will point to some Stata material.  

More obviously, you have more data which is usually good.... 

Nick 
n.j.cox@durham.ac.uk 

Pavlos C. Symeou

I need to do some regression analysis using monthly panel data for a 
number of years. For my previous research I have only used yearly data 
and I am wondering whether monthly data require different approaches of 
analysis, for instance in the use of the -xtreg- command. I have 
formatted my monthly data in a mode that STATA understands and organised

my data with -tsset-. I was wondering whether you could enlighten me and

possibly suggest any resources that I can use to familiarise myself with

monthly data analysis, if it actually differs from yearly analysis.


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