Hello Al,
Thanks a lot for your reply.
My biggest concern here is the time dimension is too short, which might affect the inference on the time trend. Can -somersd- address this issue?
Thanks again.
Jun
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Feiveson, Alan H. (JSC-SK311)
Sent: February 13, 2009 9:17 AM
To: [email protected]
Subject: st: RE: time trend in a panel with very SHORT time dimension
You could try a non-parametric within-cluster comparison using -somersd- . This avoids distributional assumptions.
somersd expense year,funtype(wcluster) cluster(FirmID) wstrata(FirmID)
Al Feiveson
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Jun Zhou
Sent: Thursday, February 12, 2009 7:31 PM
To: [email protected]
Subject: st: time trend in a panel with very SHORT time dimension
Dear all,
I have an unbalanced panel dataset with 5 years observations from 2000 firms.
I would like to test whether there is a positive time-trend in one variable (e.g. expense).
I tried the following two ways:
xi: areg expense year, absorb(FirmID) cluster(FirmID)
reg expense year, cluster(FirmID) Both methods show that the slope (i.e. the coefficient of 'year') is positive and statistically significant. Can I conclude that there is a positive time trend in variable 'expense'?
I understand that it is improper to try to test time trend in a time series of 5 observations, but I am not sure whether 2000 firms can allow me to test the time trend although each firms have no more than 5 observations.
Thanks a lot for your help.
Jun
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