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RE: st: RE: RE: estimation with a time trend.
From
"Nick Cox" <[email protected]>
To
<[email protected]>
Subject
RE: st: RE: RE: estimation with a time trend.
Date
Mon, 5 Jul 2010 17:12:27 +0100
I agree with Dr Buis.
Nick
[email protected]
natasha agarwal
On Mon, Jul 5, 2010 at 4:49 PM, Maarten buis <[email protected]> wrote:
> --- On Mon, 5/7/10, natasha agarwal wrote:
>> I wanted to introduce a time trend in my estimation where
>> my years go from 2001-2005.
>>
>> With time trend I mean:
>>
>> panel identifier year time trend
>> 1 2001 1
>> 1 2002 2
>> 1 2003 3
>> 1 2004 4
>> 1 2005 5
>> 2 2001 1
>> 2 2002 2
>>
>> The only way I knew how to do it was to use the egen
>> -group- command.That is why I wanted to do the egen
>> -group- command.
>
> I am still confused: What is "time trend" supposed to
> measure that cannot be measured with "year"?
The results with the time dummies showed that the estimated
coefficients on the time dummies was increasing over time. I am
pasting the results of the same.
Fixed-effects (within) regression Number of obs = 46959
Group variable: number Number of groups = 12911
R-sq: within = 0.2300 Obs per group: min = 1
between = 0.4727 avg = 3.6
overall = 0.4656 max = 5
F(7,12910) = 626.65
corr(u_i, Xb) = 0.1507 Prob > F = 0.0000
(Std. Err. adjusted for 12911 clusters in number)
Robust
lnrval Coef. Std. Err. t P>t [95% Conf. Interval]
lnk .2036338 .0107336 18.97 0.000 .1825942 .2246733
lnw .5677307 .0168696 33.65 0.000 .5346637 .6007977
lnvfdi .0217376 .0198568 1.09 0.274 -.0171848 .0606599
y14 -.3255905 .0171191 -19.02 0.000 -.3591466 -.2920345
y15 -.2313728 .0130272 -17.76 0.000 -.256908 -.2058375
y16 -.1464979 .0097877 -14.97 0.000 -.1656832 -.1273126
y17 -.1293191 .0081628 -15.84 0.000 -.1453195 -.1133188
y18 (dropped)
_cons .3633778 .2559695 1.42 0.156 -.1383602 .8651158
sigma_u .95102062
sigma_e .55962159
rho .74279561 (fraction of variance due to u_i)
So I decided to introduce one a time variable like a trend which is
shown as before.
Given your
> earlier remarks you did not think that "the 0 outside the
> range of your data" was a problem in your fixed effects
> model. So what problem did you want to solve by creating
> that "time trend" variable?
>
> Mind you, I don't think it is a bad idea to ensure that
> 0 happens at a meaningful point in time, but it does not
> seem to be the problem that you wanted to solve. We need
> to make sure we understand what the problem is you want
> to solve before we can help.
>
> Again, there is no need to use -egen group()-, and it is
> dangerous as your year variable may be unequally spaced
> (even if you think that it is not, real data has the
> nasty property of always deviating from what you think
> should be true in your data...). You could easily check
> it before hand, but there is an easier and much saver
> solution: just subtract a constant:
>
> *--------- begin example --------
> drop _all
> input id year
> 1 2001
> 1 2002
> 1 2003
> 1 2004
> 1 2005
> 2 2001
> 2 2002
> end
> gen trend = year - 2000
> list
> *--------- end example ----------
> (For more on examples I sent to the Statalist see:
> http://www.maartenbuis.nl/example_faq )
>
> To repeat: do not use -egen group()- for this purpose,
> it is dangerous. It will work in this example, but it
> can just too easily backfire in real data.
>
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