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st: RE: RE: time trend in a panel with very SHORT time dimension


From   Jun Zhou <Jun.Zhou04@Rotman.Utoronto.Ca>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: time trend in a panel with very SHORT time dimension
Date   Fri, 13 Feb 2009 11:30:48 -0500

Hello Al, 
Thanks a lot for your reply. 
My biggest concern here is the time dimension is too short, which might affect the inference on the time trend. Can -somersd- address this issue? 
Thanks again.
Jun 

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Feiveson, Alan H. (JSC-SK311)
Sent: February 13, 2009 9:17 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: time trend in a panel with very SHORT time dimension

You could try a non-parametric within-cluster comparison using -somersd- . This avoids distributional assumptions.

 somersd expense year,funtype(wcluster) cluster(FirmID) wstrata(FirmID)


Al Feiveson 

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Jun Zhou
Sent: Thursday, February 12, 2009 7:31 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: time trend in a panel with very SHORT time dimension

Dear all, 

I have an unbalanced panel dataset with 5 years observations from 2000 firms. 
I would like to test whether there is a positive time-trend in one variable (e.g. expense). 
I tried the following two ways:
       xi: areg expense year, absorb(FirmID) cluster(FirmID)
       reg expense year, cluster(FirmID) Both methods show that the slope (i.e. the coefficient of 'year') is positive and statistically significant. Can I conclude that there is a positive time trend in variable 'expense'? 

I understand that it is improper to try to test time trend in a time series of 5 observations, but I am not sure whether 2000 firms can allow me to test the time trend although each firms have no more than 5 observations. 

Thanks a lot for your help. 
Jun

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