st: Eliminating gaps

[Cameron Hooper <chooper@umich.edu>]

When using rollreg on "real" data I learnt that my data cannot contain 
any gaps. Unfortunately many of my firms have gaps in their data so I 
need to remove them. Can anyone suggest how to do this? For concreteness 
here is an example of my problem. In the dataset below I need to remove 
all observations with id == 1. (In practice I don't know in advance 
which firms need to be removed, I need to test for gaps.) Also the vast 
majority of firms in my sample begin with a series of missing values.

. use http://www-personal.umich.edu/~chooper/stata/rrtest2
. list

     +----------------------------+
     | id    y    x1    x2   year |
     |----------------------------|
  1. |  1   12    80   100   1980 |
  2. |  1   23    90    93   1981 |
  3. |  1   45   100    62   1982 |
  4. |  1   13    56   120   1983 |
  5. |  1   22    65    90   1984 |
     |----------------------------|
  6. |  1   21     .    80   1985 |
  7. |  1   56   120    12   1986 |
  8. |  1   43    90    45   1987 |
  9. |  1   29    67    67   1988 |
 10. |  1   14    42    55   1989 |
     |----------------------------|
 11. |  2   34    76    87   1985 |
 12. |  2   56   123    34   1986 |
 13. |  2   32    56    56   1987 |
 14. |  2   67    90    98   1988 |
 15. |  2   83    54    54   1989 |
     |----------------------------|
 16. |  2   45    67    76   1990 |
 17. |  2   12    43    23   1991 |
 18. |  2   45    56    56   1992 |
 19. |  2   23    43    67   1993 |
 20. |  2   56    56   120   1994 |
     |----------------------------|
 21. |  2   34    78   100   1995 |
     +----------------------------+

. tsset id year
       panel variable:  id, 1 to 2
        time variable:  year, 1980 to 1995

. rollreg y x1 x2, move(5) stub(rr)

Number of gaps in sample:  1

Observations with preceding time gaps
----------------------------------
   Record |         id        year
----------+-----------------------
        7 |          1        1986
----------------------------------
sample may not contain gaps
r(198);

Thanks

Cameron

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