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st: RE: RE: changes of variables over time in panel data


From   Wen Xia Ge <wenxia.ge@mail.mcgill.ca>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: changes of variables over time in panel data
Date   Tue, 2 Sep 2008 15:14:27 -0400

Sorry, the description of my question is not clear. Let me rephrase my
question:

My panel data is composed of bond issues of thousands of firms over more
than 10 years. My goal is:

(1) Get the means (medians) of several firm-level variables (V1 to V5)
prior to bond issues and post bond issues, i.e., to get the means
(medians) of V1 to V5 for years -2 to +2 relative to bond issues, and
then 
(2) test whether they are significantly different from zero or not in
each year, 
(3) test if they change significantly from t-1 to t, from t to t+1.

I would like to present the results in the following format:

Year         -2            -1              0              1
2
V1           mean         mean            mean           mean
mean
       (t-statistics) (t-statistics) (t-statistics) (t-statistics)
(t-statistics)
V2           mean         mean            mean           mean
mean
       (t-statistics) (t-statistics) (t-statistics) (t-statistics)
(t-statistics)
V3           mean         mean            mean           mean
mean
       (t-statistics) (t-statistics) (t-statistics) (t-statistics)
(t-statistics)
V4           mean         mean            mean           mean
mean
       (t-statistics) (t-statistics) (t-statistics) (t-statistics)
(t-statistics)
V5           mean         mean            mean           mean
mean
       (t-statistics) (t-statistics) (t-statistics) (t-statistics)
(t-statistics)

Thank you,

Wenxia

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
Sent: Tuesday, September 02, 2008 12:42 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: changes of variables over time in panel data

I don't think you give us any clue on what your goal is, precisely. To
look at changes? That seems to be what all studies of panel data should
do. 

To get a better answer than this, you may need to ask a better question.
Otherwise I am reduced to anodyne advice, such as plot your data and
think about building a model. 

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

Wen Xia Ge

My panel data is composed of bond issues of thousands of firms over more
than 10 years. I want to look at the changes of several firm-level
variables prior to bond issues and post bond issues, that is, I want to
look at the changes of several firm-level variables in year t-2, t-1, t,
t+1 and t+2, where bond issues are in year t. 

I know we can generate lagged variables (one year lag or two year lag)
in STATA, but I have no clue how to achieve the above goal. Any
suggestions?

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