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RE: st: Differencing when dependent variable only defined every 4th year


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Differencing when dependent variable only defined every 4th year
Date   Wed, 23 Nov 2011 19:50:06 +0000

This would, I think, repeat every election year four times. The coefficients might be (about) right, but the df and P-value would be quite wrong. Of course they are probably wrong any way unless the model captures the data generation process, but the sample size is surely just # of election years. 

In fact that's a worry independently. How many parameters are being fitted here to data for 1960(4)2008 i.e. just 13 distinct values of the response! 

Nick 
n.j.cox@durham.ac.uk 

Herron

Would you like to carry forward election year data for the following
three years? The following should replace the empty data with the
previous election year's data.

tsset state year
replace x = l.x if (x == .)

On Wed, Nov 23, 2011 at 13:13, Sebastian Barfort <sb3730@nyu.edu> wrote:

> I've encountered a problem in a time series regression I want to do. I have a panel with 49 US states running from 1960-2008. All my independent variables have observations for all years. However, the dependent variable is defined only every other 4th year (it's presidential election data). The regression I want to run is the following:
>
> y(t)-y(t-4)=alpha+beta1(x1(t)-x1(t-1))+beta2(x1(t-1)-x1(t-2))+beta3(x2(t)-x2(t-1))+beta4(x2(t-1)-x2(t-2)) etc etc...
>
> But how can I do this in Stata? I've defined the data as time series with t=year the time variable, but can't seem to find the right way to go around the problem.

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