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RE: st: TSCS estimator selection for unequally spaced data


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: TSCS estimator selection for unequally spaced data
Date   Mon, 4 Aug 2008 12:45:45 +0100

You may be slightly better off using something like year/5 for your time variable. Otherwise no magic fix is apparent to me. 

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

Augusto Cadenas

what if you have a very normal panel data set, with the DV being
measured in all panels at the same time (as opposed to Ken's dataset),
but the time periods are unevenly spaced? In my specific case, 20
years apart at the beginning of the dataset, 10 years after that, and
5 years towards the end. I am very reluctant to drop observations in
order to achieve evenly spaced intervals. What if one now wants to
estimate a dynamic panel in this case?

The problem I am thinking of is that if the autocorrelation factor is
equal to, say, "a" for two periods that are 5 years apart, it should
be "a^2" for two periods that are ten years apart, and "a^4" in the
earliest part of the dataset.

Does anyone of you know whether this problem has been dealt with in
the literature in the past, (and if there are any implementations for
that in stata)?

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