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Re: st: re: What to do about multiple observations for one individual in one same period in a panel


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: What to do about multiple observations for one individual in one same period in a panel
Date   Mon, 20 Jul 2009 11:04:58 -0400

Adrian de la Garza <kokootchke@hotmail.com>:
Many questions in these recent threads were asked and answered more
than a year ago, e.g.
http://www.stata.com/statalist/archive/2008-05/msg00286.html
http://www.stata.com/statalist/archive/2008-05/msg00402.html

I will just reiterate that it is not clear to me what the nature of
the selection problem is in your application.  Perhaps it would help
if you gave us a sentence or two about what is causing what (what
variables are on the right hand side and what the outcome variable is,
exactly) in your model, and why.  Note that the selection problem
addressed by -heckman- is about selection on the error term, not just
a low wage related to "low" observables (selection on X is okay), and
I don't think countries observe the error term and decide not to issue
bonds--it is more likely that the decision not to issue bonds in a
year is related to observables, but that there is some endogeneity in
the right-hand-side variables to worry about, and dynamics to account
for (e.g. you issue bonds this year to cover interest payments on last
year's debt).

Also, you can cluster on countryyear to account for multiple obs per
country-year cell, but clustering on country makes more sense (with
time dummies for fixed year or month effects related to global capital
markets), and incorporates that smaller correction already.


On Sun, Jul 19, 2009 at 3:27 PM, kokootchke<kokootchke@hotmail.com> wrote:
> Nick, Kit, Martin... thanks a lot for your suggestions. The only one that had occurred to me was the one that averages spreads (yes, Kit, I have yield spreads, not prices) and other variables by country whenever there are multiple bonds issued in a given time period... I was not a fan of this approach because I would "lose" observations... but then again, I don't know exactly how much I'm actually losing, if all my macro variables for each of those "repeated" observations in one same time period have the same value (different spread for each bond... but same GDP growth, debt/GDP, inflation, etc.).
>
> Anyway, let me try these suggestions. Thanks a lot!
>
> Adrian

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