RE: st: xtabond and no observations

["jyotsna puri" <pjyotsna@hotmail.com>]

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 <baum@bc.edu>
Reply-To: statalist@hsphsun2.harvard.edu
To: statalist@hsphsun2.harvard.edu
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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