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st: Time series panel data


From   BARTHRILEY@comcast.net
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Time series panel data
Date   Wed, 28 Nov 2012 19:31:26 +0000 (UTC)

Dear list

I am working with a dataset consisting of sleep brainwave recordings taken over three nights, with recordings made every 15 seconds, using a sample of 21 research participants. I have both time varying and time invariant covariates. With this and the very long time series I am not sure of the best model to use. Dynamic panel models such as Arellano-Bond typically require many panels with relatively few time points, and do not take into account the autoregressive disturbances in the data. An ARIMA model containing only time varying predictors could be fit for each subject, and comparisons/correlations of the intercepts and slpes generated from each ARIMA model could be performed using the subject-level (time invariant) variables. Is this a reasonable approach? Or is there a better alternative?

Thanks

Barth
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