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st: time smoothing in panel data


From   Rufus Peabody <rufus.peabody@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: time smoothing in panel data
Date   Tue, 22 Jul 2008 23:12:06 -0700

I'm attempting to create a model to predict performance. I have about 500 different groups, and have as many as 200 and as few as 1 observation for each group. These occur over an 8 year period and there are gaps in days between them. For example, one group might have an observation July 1, then July 6; for another group, it could be July 2, then July 9. What I want to do is determine how much I should weigh each previous observation to predict performance for a future observation. I would have thought -tssmooth nl- might work, but it did this by group. I want to control for group and create a decay function that I can use to predict future performance for all groups. Any help would be greatly appreciated!

Thanks,
Rufus
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