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Re: st: Panel data: large number of linear time trends


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Panel data: large number of linear time trends
Date   Wed, 9 May 2012 16:43:17 -0400

ron alfieri <ron.alfieri18@gmail.com>:
You don't show what you typed, and it is not clear what you mean by:
"an interaction between the fixed effect for each zip code and a
linear time trend"
--if you mean you interacted a full set of dummies with time, then I
would expect the same point estimates in both.

Are you neglecting to mention other covariates perhaps?

If you can run the interacted version, e.g.
 reg mvalue c.invest c.year##i.company
in the link cited, why wouldn't you?

On Wed, May 9, 2012 at 3:26 PM, ron alfieri <ron.alfieri18@gmail.com> wrote:
> I am trying to estimate a panel data model with a large number of
> unit-specific linear time trends (one for each zip code).
>
> I am using the method proposed here:
>
> http://www.stata.com/statalist/archive/2012-02/msg01108.html
>
> Using a subset of my data, I tried using your method and then compared
> the results to the results from a model where I include zip-code
> specific time trends by adding as covariates an interaction between
> the fixed effect for each zip code and a linear time trend.
>
> The results are very similar, but not identical.
>
> This is how I am interpreting the differences. When de-trending the
> data for one zip-code at a time your code uses only the data points
> from that zip code. However, all data points are used when estimating
> zip-code specific trends by adding as covariates the interactions
> between the fixed effect for each zip code and a linear trend (with
> “all data points” I mean even the data points where these interactions
> take the value of zero that are not used when doing it one zip code at
> a time).
>
> I would appreciate any comments on whether I am interpreting the
> differences between these two methods correctly. If anyone has an
> insight on whether one of the methods is more “appropriate” than the
> other that would be great.
>
> Aaron

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