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


From   Steven Samuels <sjhsamuels@earthlink.net>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: RE: time trend in a panel with very SHORT time dimension
Date   Fri, 13 Feb 2009 13:02:22 -0500

Jun, why do you think five years is " too short? Standard books on longitudinal data (e.g. Diggle, Liang,Zeger, 1996) show series as short. Even series of two or three periods can be analyzed. Perhaps you are thinking of time series data. If you wanted to time series analyses (-help time series-), you would indeed need many more periods, but nobody is suggesting a TS approach.

Your analyses and Alan's suggestion will indeed test for a trend,. If you want to model the trend, I suggest a full longitudinal analysis. Plot the trajectories to examine their form. How do you know the trend is linear? How do you know that, as your models imply, the slopes are identical?

If the five-year intervals start in different years, you might have a problem generalizing to a trend over the whole period. However you can add a "year" of start as a predictor in a regression model to account for that.

-Steve

P Diggle, KY Liang, S Zeger 1996. Analysis of Longitudinal Data. Oxford Press.


On Feb 13, 2009, at 11:30 AM, Jun Zhou wrote:

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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