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From |
stef salvez <loggyedy@googlemail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: could you please verify the correctness of the code?-tsfill function |

Date |
Wed, 6 Jun 2012 13:02:32 +0200 |

Thank you Nick. You were explicit and already gave me nice ideas. Again thank you very much On 6/6/12, Nick Cox <njcoxstata@gmail.com> wrote: > The flavour of this is now not about Stata but about whether you are > making the right substantive decision on what to do with your data. I > am not an economist and not familiar with the pertinent literature, > but you cannot be the first person to be faced with this problem that > prices in different places are observed on different dates. So, what > else do people do? > > Your solution is Procrustean in forcing dates on to a grid. Daily > dates that round to the same floor(date/28) could be up to 27 days > apart, so with what you do I think you need to calculate the error > (real date - gridded date) and talk about its distribution. > > One alternative is to interpolate the prices to a shared set of dates. > > Another is to take what you have and calculate monthly average prices > and also report how many prices those averages are based on. You will > still have gaps and may well need to interpolate too. > > As I've said many times on this list, Statalist may not serve well the > expectations of those list members who want to be told how best to > analyse their data. I keep wondering whether the response to thesis > examiners/committee members or paper reviewers to "Why did you do > that?" is going to be "Oh, that was what recommended on an internet > discussion list by one person who answered my question". > > Nick > > On Wed, Jun 6, 2012 at 2:14 AM, stef salvez <loggyedy@googlemail.com> > wrote: >> thank you Nick. I really appreciate your help and your patience. >> Let me be more explicit this time >> >> >> I have a panel data set of prices of goods that vary across time and >> countries. >> >> As you can see from the table below >> >> >> >> country dates price of good k >> >> >> >> 1 "23/11/08" 2 >> 1 "28/12/08" 3 >> 1 "25/01/09" 4 >> 1 "22/02/09" 5 >> 1 "29/03/09" 6 >> 1 "26/04/09" 32 >> 1 "24/05/09" 23 >> 1 "28/06/09" 32 >> 2 "26/10/08" 45 >> 2 "23/11/08" 46 >> 2 "21/12/08" 90 >> 2 "18/01/09" 54 >> 2 "15/02/09" 65 >> 2 "16/03/09" 77 >> 2 "12/04/09" 7 >> 2 "10/05/09" 6 >> >> >> >> >> >> >> >> the start and end date of the time series for countries 1 and 2 are >> different. For example, for country 1 the time series begins on >> "23/11/08" while for country 2 the time series begins on >> "26-10-2008". >> >> My data on prices are available every 28 days (or equivalently every 4 >> weeks). But in some cases I have jumps (35 days or 29 days instead of >> 28 days). For example from the above table we have such jumps: from >> "28/12/08" to "28/12/08" , from 22/02/09" to >> "29/03/09", etc >> >> My goal is to have as much as possible the same sequence of dates >> across countries which is a bit difficult because of the two >> "problems" that I mentioned above. I want to have the same sequence of >> dates across countries because eventually what I want to do is see how >> the difference of prices for,say good k, between two countries >> evolves over time. So I want to set up the following regression >> >> >> >> >> >> ΔP_{ij,t}_{k}= constant +regressors +error term where ΔP_{ij,t } is >> the difference of prices between countries i and j in period t for >> good k. The ΔP_{t}_{k} is a vector of difference of prices for all >> pairs of countries at time t for good k. >> The whole point is to be able to run the above regression >> >> >> My initial idea was to use -tsfill- in the code which i display below >> ( and which can be easily reproduced with copy paste in stata): >> >> >> >> clear all >> cd D:\ >> input id str8 (dates) variable >> 1 "23/11/08" 2 >> 1 "28/12/08" 3 >> 1 "25/01/09" 4 >> 1 "22/02/09" 5 >> 1 "29/03/09" 6 >> 1 "26/04/09" 32 >> 1 "24/05/09" 23 >> 1 "28/06/09" 32 >> 2 "26/10/08" 45 >> 2 "23/11/08" 46 >> 2 "21/12/08" 90 >> 2 "18/01/09" 54 >> 2 "15/02/09" 65 >> 2 "16/03/09" 77 >> 2 "12/04/09" 7 >> 2 "10/05/09" 6 >> end >> >> >> >> gen edate1 = date(dates, "DM20Y") >> gen edate2= floor(edate1/28) >> tsset id edate2 >> tsfill >> >> >> >> >> >> But I do not know if this approach is correct or not in order to be >> able to run the above regression. Apart from tsfill I have no other >> idea how to run this regression. Any suggestions/codes are welcome. >> > > * > * 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/

**References**:**st: could you please verify the correctness of the code?-tsfill function***From:*stef salvez <loggyedy@googlemail.com>

**Re: st: could you please verify the correctness of the code?-tsfill function***From:*stef salvez <loggyedy@googlemail.com>

**Re: st: could you please verify the correctness of the code?-tsfill function***From:*stef salvez <loggyedy@googlemail.com>

**Re: st: could you please verify the correctness of the code?-tsfill function***From:*Nick Cox <njcoxstata@gmail.com>

**Re: st: could you please verify the correctness of the code?-tsfill function***From:*stef salvez <loggyedy@googlemail.com>

**Re: st: could you please verify the correctness of the code?-tsfill function***From:*Nick Cox <njcoxstata@gmail.com>

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