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st: drop variables with missing values


From   "Braunfels, Philipp (Stud. SBE / Alumni)" <P.Braunfels@student.maastrichtuniversity.nl>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: drop variables with missing values
Date   Thu, 26 Jul 2012 21:27:06 +0200

Dear statlisters,
I am asking for your advice on the following issue: I want to run a newey-west regression (to account for heteroscedasticity and autocorrelation). I have a panel of 2000 companies and their respective returns. however the returns of some companies have missing values aka "gaps". Therefore, I would like to delete all companies that have gaps in order to apply newey west. In this respect, I have also companies that have consecutive data but start at a later year than my sample (e.g. company values as of 2006 but sample starts in 2000). for the latter companies I would like to retain all values (as this should not be a problem with the newey west estimation?!?!).

usually I would just write - drop if return>=. -  however this would also eliminate those companies for which I have consecutive data (but start at a later date than my overall sample)

I am very thankful for any advice!

greets!
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