Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: drop variables with missing values

From   "Braunfels, Philipp (Stud. SBE / Alumni)" <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: drop variables with missing values
Date   Thu, 26 Jul 2012 21:27:06 +0200

Dear statlisters,
I am asking for your advice on the following issue: I want to run a newey-west regression (to account for heteroscedasticity and autocorrelation). I have a panel of 2000 companies and their respective returns. however the returns of some companies have missing values aka "gaps". Therefore, I would like to delete all companies that have gaps in order to apply newey west. In this respect, I have also companies that have consecutive data but start at a later year than my sample (e.g. company values as of 2006 but sample starts in 2000). for the latter companies I would like to retain all values (as this should not be a problem with the newey west estimation?!?!).

usually I would just write - drop if return>=. -  however this would also eliminate those companies for which I have consecutive data (but start at a later date than my overall sample)

I am very thankful for any advice!

*   For searches and help try:

© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index