Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

RE: 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   RE: st: RE: RE: time trend in a panel with very SHORT time dimension
Date   Fri, 13 Feb 2009 13:53:20 -0500

Hello Steve, Al, and Austin, 

Thank you all for these great suggestions! 
Yes, the starting point of my doubt was the time series data, which indicates that it is improper to try to identify a time trend for a series of less than 25 observation. 
My question just requires whether there is an upward/downward trend, hence, I just use the linear trend for simplicity. Steve and Austin, thank you specially for those economic insights. 
Al, thank you so much for pointing out this non-parametric method. I will use it for robustness check. 

Thanks again. Hope you have a great weekend! 
Jun 

 



-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Steven Samuels
Sent: February 13, 2009 1:02 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: RE: RE: time trend in a panel with very SHORT time dimension

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
>
> *
> *   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/
>
> *
> *   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/
>
> *
> *   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/

*
*   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/

*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index