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RE: st: Filtering methods with short time series


From   Nick Cox <n.j.cox@durham.ac.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Filtering methods with short time series
Date   Wed, 2 Feb 2011 18:31:40 +0000

I was thinking of -xt- methods. 

I agree completely: I wouldn't put these series end to end. 

Nick 
n.j.cox@durham.ac.uk 

kokootchke

Dear Nick,Thanks again for your comments. I am intrigued about your last comment:> Also, I get the impression that you are filtering these series individually, but pooling them as longitudinal data would come to mind first to many readers of this list.Are you suggesting I append the different series I have and then filter the constructed longer series? I don't think that would be appropriate given that my different variables correspond to the amount of time spent by individuals on various activities (eating, sleeping, shopping, personal care, ...), and many of these would have very different behaviors over time (for example, after the financial crisis, people shop less and eat out less, but sleeping patterns don't change much--controlling for employment status). But perhaps I could group similar activities and construct the longitudinal series the way you suggest for various broader groups, e.g., leisure activities, work, etc.? The other thing I thought I could do was to wor!
 k with principal components.


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