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re: Re: st: RE: Panel data: large number of linear time trends


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   re: Re: st: RE: Panel data: large number of linear time trends
Date   Fri, 24 Feb 2012 15:47:30 -0500

<>
Austin said

William Gui Woolston--
You have to detrend the outcome and each regressor, not just the outcome.


Quite so. To break the estimation into a detrending step and a panel regression, you must 'partial off' the effects of trend from both the response variable and the other regressors, as his code does.  Another approach to handle this would be to use -mvreg- to project all the variables in the model on the time trend so that the -myregress- routine could be called just once with a varlist, perhaps automatically producing the detrended series as dtr_y, dtr_x1, dtr_x2, etc.

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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