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From |
Richard Herron <richard.c.herron@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Differencing when dependent variable only defined every 4th year |

Date |
Thu, 24 Nov 2011 14:19:30 -0500 |

He only wants to carry-forward or fill-in certain independent variables, correct? @Nick -- Do you think that clustering standard errors by election cycle would reduce the problem from the correlation in the carried-forward ind vars? On Wed, Nov 23, 2011 at 14:50, Nick Cox <n.j.cox@durham.ac.uk> wrote: > This would, I think, repeat every election year four times. The coefficients might be (about) right, but the df and P-value would be quite wrong. Of course they are probably wrong any way unless the model captures the data generation process, but the sample size is surely just # of election years. > > In fact that's a worry independently. How many parameters are being fitted here to data for 1960(4)2008 i.e. just 13 distinct values of the response! > > Nick > n.j.cox@durham.ac.uk > > Herron > > Would you like to carry forward election year data for the following > three years? The following should replace the empty data with the > previous election year's data. > > tsset state year > replace x = l.x if (x == .) > > On Wed, Nov 23, 2011 at 13:13, Sebastian Barfort <sb3730@nyu.edu> wrote: > >> I've encountered a problem in a time series regression I want to do. I have a panel with 49 US states running from 1960-2008. All my independent variables have observations for all years. However, the dependent variable is defined only every other 4th year (it's presidential election data). The regression I want to run is the following: >> >> y(t)-y(t-4)=alpha+beta1(x1(t)-x1(t-1))+beta2(x1(t-1)-x1(t-2))+beta3(x2(t)-x2(t-1))+beta4(x2(t-1)-x2(t-2)) etc etc... >> >> But how can I do this in Stata? I've defined the data as time series with t=year the time variable, but can't seem to find the right way to go around the problem. > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: Differencing when dependent variable only defined every 4th year***From:*Nick Cox <n.j.cox@durham.ac.uk>

**References**:**st: Differencing when dependent variable only defined every 4th year***From:*Sebastian Barfort <sb3730@nyu.edu>

**Re: st: Differencing when dependent variable only defined every 4th year***From:*Richard Herron <richard.c.herron@gmail.com>

**RE: st: Differencing when dependent variable only defined every 4th year***From:*Nick Cox <n.j.cox@durham.ac.uk>

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