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Re: st: TSCS estimator selection for unequally spaced data


From   David Greenberg <dg4@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: TSCS estimator selection for unequally spaced data
Date   Thu, 14 Aug 2008 15:37:27 -0400

Another possibility, if your panel data reflecting an underlying process that evolves continuously in time, is to write the differential equation for the dynamic process and then use your panel data to estimate it. This approach is summarized briefly in Ronald Kessler and David Greenberg, Sociology Department, New York University.  -    David Greenberg

----- Original Message -----
From: Augusto Cadenas <aug.cadenas@googlemail.com>
Date: Thursday, August 14, 2008 11:19 am
Subject: Re: st: TSCS estimator selection for unequally spaced data
To: statalist@hsphsun2.harvard.edu


> Dear all,
> 
> yes, of course the first thing I would do is tssetting the dataset
> after having changed the time variable in such a way that the minimal
> interval is 1, as Nick suggests. (in this case: replace year =
> year/5).
> 
> But then again, I still don't know how to estimate a dynamic panel in
> this case, where some observations are 1 time unit apart, some are 2
> units apart, some are 4 units apart.
> 
> Would, alternatively, -xtregar- be a decent subsitute? If I can't
> model the exact dynamic evolution of the dependent variable, could it
> be meaningful to subsume the dynamics under an autocorrelated error
> term?
> 
> Thanks for your thoughts on this.
> 
> Augusto
> 
> On Mon, Aug 4, 2008 at 1:45 PM, Nick Cox <n.j.cox@durham.ac.uk> wrote:
> > 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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> >
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