RE: st: xtabond and no observations

 From "jyotsna puri" <[email protected]> To [email protected] Subject RE: st: xtabond and no observations Date Wed, 08 Dec 2004 15:50:51 +0000

Dear Monica and Kit,
Thanks! Monica your fix worked! And Kit I have noted your word
of caution on interpretation.
Thanks again!

Jyotsna (Jo) Puri
Cell and Voicemail: 201-805-1690
Ph.D candidate, University of Maryland at College Park,
Maryland.

----Original Message Follows----
From: Kit Baum <[email protected]>
To: [email protected]
Subject: st: xtabond and no observations
Date: Tue, 7 Dec 2004 13:36:39 -0500

Jo had this problem with her third-world data, which is a panel with unequally spaced waves. Monica suggested

replace time2 = 1 if d73 == 1 ;
replace time2 = 2 if d78 == 1 ;
replace time2 = 3 if d83 == 1 ;
replace time2 = 4 if d88 == 1 ;
replace time2 = 5 if d93 == 1 ;
replace time2 = 6 if d98 == 1 ;

tsset panchayat time2 ;

While this will technically work, one should be VERY careful. Given that Jo's observations differ in their timing by two years (86, 88, ... 96), [as opposed to Monica's, which appear to be quinquennia] keep in mind that the xtabond estimator is based on differencing the time series (which is why there were 'no observations' -- a biannual series on an annual calendar has no defined first differences). Creating a time variable in which t+1 = 2 years down the road is fine, but you want to be very careful not to interpret any findings in 'per annum' terms, since for this dataset one unit of time = 2 calendar years. For instance, if anything in the model ends up being an estimate of a growth rate, it should be decompounded to annual for comparison.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html

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