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Re: st: could you please verify the correctness of the code?-tsfill function


From   stef salvez <loggyedy@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: could you please verify the correctness of the code?-tsfill function
Date   Wed, 6 Jun 2012 13:02:32 +0200

Thank you Nick. You were explicit and already gave me nice ideas.
Again thank you very much


On 6/6/12, Nick Cox <njcoxstata@gmail.com> wrote:
> The flavour of this is now not about Stata but about whether you are
> making the right substantive decision on what to do with your data. I
> am not an economist and not familiar with the pertinent literature,
> but you cannot be the first person to be faced with this problem that
> prices in different places are observed on different dates. So, what
> else do people do?
>
> Your solution is Procrustean in forcing dates on to a grid. Daily
> dates that round to the same floor(date/28) could be up to 27 days
> apart, so with what you do I think you need to calculate the error
> (real date - gridded date) and talk about its distribution.
>
> One alternative is to interpolate the prices to a shared set of dates.
>
> Another is to take what you have and calculate monthly average prices
> and also report how many prices those averages are based on. You will
> still have gaps and may well need to interpolate too.
>
> As I've said many times on this list, Statalist may not serve well the
> expectations of those list members who want to be told how best to
> analyse their data. I keep wondering whether the response to thesis
> examiners/committee members or paper reviewers to "Why did you do
> that?" is going to be "Oh, that was what recommended on an internet
> discussion list by one person who answered my question".
>
> Nick
>
> On Wed, Jun 6, 2012 at 2:14 AM, stef salvez <loggyedy@googlemail.com>
> wrote:
>> thank you Nick. I really appreciate your help and your patience.
>> Let me be more explicit this time
>>
>>
>> I have a panel data set of prices of goods that vary across time and
>> countries.
>>
>> As you can see from the table below
>>
>>
>>
>>  country  dates                price of good k
>>
>>
>>
>>  1         "23/11/08"            2
>> 1   "28/12/08"                   3
>> 1    "25/01/09"                   4
>> 1   "22/02/09"                   5
>> 1    "29/03/09"                  6
>> 1  "26/04/09"                   32
>> 1  "24/05/09"                   23
>> 1  "28/06/09"                   32
>> 2   "26/10/08"                45
>> 2  "23/11/08"                 46
>> 2  "21/12/08"               90
>> 2  "18/01/09"                54
>> 2  "15/02/09"                 65
>> 2   "16/03/09"               77
>> 2  "12/04/09"                    7
>> 2   "10/05/09"                   6
>>
>>
>>
>>
>>
>>
>>
>>  the start and end date of the time series for countries 1 and 2 are
>> different. For example, for country 1 the time series begins on
>> "23/11/08"       while for country 2 the time series begins       on
>> "26-10-2008".
>>
>> My data on prices are available every 28 days (or equivalently every 4
>> weeks). But in some cases I have jumps (35 days or 29 days instead of
>> 28 days). For example from the above table we have such jumps: from
>> "28/12/08"   to  "28/12/08"   , from 22/02/09"         to
>> "29/03/09", etc
>>
>> My goal is to have as much as possible the same sequence of dates
>> across countries which is a bit difficult because of the two
>> "problems" that I mentioned above. I want to have the same sequence of
>> dates across countries because eventually what I want to do is see how
>> the difference of prices for,say good k,  between two countries
>> evolves over time. So I  want to set up the following regression
>>
>>
>>
>>
>>
>> ΔP_{ij,t}_{k}= constant +regressors +error term where  ΔP_{ij,t } is
>> the difference of prices between  countries i and j in period t for
>> good k. The  ΔP_{t}_{k} is a vector  of difference of  prices for all
>> pairs of countries at time t for good k.
>> The whole point is to be able to run the above regression
>>
>>
>> My initial idea was to use  -tsfill- in the code which i display below
>> ( and  which can be easily reproduced  with copy paste in stata):
>>
>>
>>
>> clear all
>> cd D:\
>> input id  str8 (dates)    variable
>>  1         "23/11/08"            2
>> 1   "28/12/08"                   3
>> 1    "25/01/09"                   4
>> 1   "22/02/09"                   5
>> 1    "29/03/09"                  6
>> 1  "26/04/09"                   32
>> 1  "24/05/09"                   23
>> 1  "28/06/09"                   32
>> 2   "26/10/08"                45
>> 2  "23/11/08"                 46
>> 2  "21/12/08"               90
>> 2  "18/01/09"                54
>> 2  "15/02/09"                 65
>> 2   "16/03/09"               77
>> 2  "12/04/09"                    7
>> 2   "10/05/09"                   6
>> end
>>
>>
>>
>> gen edate1 = date(dates, "DM20Y")
>>  gen edate2= floor(edate1/28)
>> tsset id edate2
>> tsfill
>>
>>
>>
>>
>>
>> But I  do not know if this approach is correct or not in order to be
>> able to run the above regression. Apart from tsfill I have no other
>> idea  how to run this regression. Any suggestions/codes are welcome.
>>
>
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