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st: RE probit, econometrics-related


From   David Hamilton <dthamilton@mac.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE probit, econometrics-related
Date   Mon, 11 Aug 2008 10:31:39 -0400

> I have a sample of firms which I assemble into portfolios at  
> quarterly time intervals. I measure if some event has occurred  
> within a year of those cohort dates, so the intervals overlap. I  
> could keep the first quarter of every year for each firm to  
> eliminate the overlap, but that's throwing away a lot of data. I am  
> planning on running a RE probit model clustering on firm ID (the are  
> about 5,000 unique firms). Here is my question: can I use my  
> quarterly overlapping data, or must I use the non-overlapping  
> sample? Since I am primarily interested in whether one or two of my  
> regressors are significant, my guess is that it is ok -- the RE term  
> should absorb the correlation induced by the overlapping intervals.  
> I would greatly appreciate comments from Statalisters. I've tried  
> researching the answer with no luck. Thanks in advance.
>
> DH

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