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st: alternatives to fixed effects for panel data


From   Lloyd Dumont <lloyddumont@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: alternatives to fixed effects for panel data
Date   Sun, 23 Dec 2007 07:42:02 -0800 (PST)

Hello.  My data structure presents what must be a
common problem.

I have quarterly outcomes data on 15 units.  The panel
is unbalanced.  The average number of observations per
unit is about 20.  But, just about all of the
explanatory variables that I have are time-constant. 
So, at the moment, I am doing something like...

- xtreg DEPVAR LINEARTREND INDEPVAR1 INDEPVAR2
INDEPVAR1xLINEARTREND

I think a fixed-effects specification--xtreg, fe--is
called for, but it, of course, precludes my analysis
of the variables I care about.  This seems like it
must come up a lot in situations in which one has a
small number of units/clusters, but each with a
reasonable (.e., more than one) number of observations
within.

Can anyone suggest an alternative, perhaps non- or
semi-parametric way to address change over time in
these data?

Thank you!  Lloyd.




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