[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
"Nick Cox" <n.j.cox@durham.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

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

Date |
Wed, 3 Sep 2008 15:57:07 +0100 |

I have one detailed suggestion only. Check out -by:-. Use -search- to locate tutorial material in the Stata Journal and elsewhere. Nick n.j.cox@durham.ac.uk Wen Xia Ge If all firms issue bonds in the same year, say, in 1998, then using -summarize- can easily get the descriptive statistics for each year (from 1996-2000). However, in my panel data, firms issue bonds in different years (say, firm A may issue bonds in 1997, while firm B may issue bonds in 1998, etc). I do not want to get mean or median of variables V1-V5 for each firm. Instead, if we define bond issue year is year t (the value of t may be different, e.g., for firm A, year t is 1997, for firm B, year t is 1998, etc). I want to get the mean (median) of V1-V5 for ALL firms for years t-2, t-1, t, t+1, t+2. Let me use a simple to illustrate my question: if I just consider firm A and B, suppose firm A issued bonds in 1997, and firm B issued bonds in 1998: the mean of V1 for year t-2 = (V1,firmA,1995+V1,firmB,1996)/2 the mean of V1 for year t-1 = (V1,firmA,1996+V1, firmB,1997)/2 ...... My panel data actually consists of thousands of firms, and across many years. I am not sure how to achieve my goal. I'd appreciate it if you could give me some more detailed suggestions. Nick Cox (1) is basic description. Define variables and use -summarize-. (2) and (3) may well require the context of some time-series model(s) for anyone to do properly as conventional tests such as t-tests _only_ work properly if you can assume serial independence, which on the face of it is unlikely for such data. Switching to non-parametric tests or bootstrapping does not solve that problem. There are bootstrapping fudges designed for time series but they are not really supported in Stata, as I understand it. There are time series experts on the list who may want to advise further. I suspect they would advise a different approach in which you tried to identify an appropriate model or models for the entire process. Generating tables and tables of test statistics seems likely to prove very frustrating without some larger framework, quite apart from the problem I have already raised that the standard errors are suspect and the P-values garbage. Much the same issues arose repeatedly in a thread started recently by Mahmoud Abd-El-Aal. I and others made similar points there. As happens so often on the list, I suspect that you would be better off approaching people in your institution who have expertise in this field. If you have an adviser or supervisor, that person is surely the person to ask. Wen Xia Ge 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) Nick Cox 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. 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? * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: changes of variables over time in panel data***From:*Wen Xia Ge <wenxia.ge@mail.mcgill.ca>

**st: RE: changes of variables over time in panel data***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**st: RE: RE: changes of variables over time in panel data***From:*Wen Xia Ge <wenxia.ge@mail.mcgill.ca>

**st: RE: RE: RE: changes of variables over time in panel data***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**st: RE: RE: RE: RE: changes of variables over time in panel data***From:*Wen Xia Ge <wenxia.ge@mail.mcgill.ca>

- Prev by Date:
**RE: st: RE: clustering option after ivprobit** - Next by Date:
**Re: st: Summer North American Stata Users Group meetings** - Previous by thread:
**st: RE: RE: RE: RE: changes of variables over time in panel data** - Next by thread:
**st: QIC program update** - Index(es):

© Copyright 1996–2016 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |