st: FW: How can I analyse a timeseries dataset appropriately?

["Claus D. Hansen" <claushansen@pc.dk>]

Dear list-members,

I have a dataset I have assembled myself but I am having trouble figuring
out just how to analyse it properly.

I have a dataset consisting of a variable indicating how big a share of the
total articles in a newspaper sickness absence has had for that specific
year (this is a continuous variable).

I have this information for 5 newspapers in the period 1991-2010 which means
I have 100 observations all in all.

For each year I have some information ? i.e. what government is ruling in
that year (dummy variable), how big unemployment was, the average sickness
absence rate and how many public money was used on sickness absence (last
three are all continuous variables) ? these 

I want to know which of the independent variables predict the share of
articles about sickness absence ? and I want to know if there is a ?time
effect?, i.e. I want to know if there is an association between year and the
share of articles on sickness absence when adjusting for the above mentioned
independent variables ? and if the ?time effect? disappears I want to know
which of the independent variables are ?responsible? for explaining how the
?time effect? disappears.

I know that it will be wrong to use standard OLS ? because it?s a time
series the observations will not be independent - another problem is that my
independent variables are not specific to each of the 5 observations on the
share of sickness absence articles. 

I suspect I should be using some kind of random effects modeling but I might
be wrong ? can anyone point me to the right way of analyzing this? 

Thank you in advance,


Claus D. Hansen
Assistant professor
Aalborg University
Denmark

My dataset looks like this ? and so on

avis                     year                    sickleave          
sickab                 government    mwork               wwork              
mwcol                wwcol                            
sickexpenditure                         laws
1                           1991                   
7.1                       .6924009           1                          
11                        13.1                    
4                           6.9                            
5268250                                          0
2                           1991                    3.51                    
.54030064         1                           11                       
13.1                     4                          
6.9                             5268250            
                             0
3                           1991                    4.55                    
.48229296         1                           11                       
13.1                     4                          
6.9                             5268250            
                             0
4                           1991                    1.83                    
.26102845         1                           11                       
13.1                     4                          
6.9                             5268250            
                             0
5                           1991                    5.17                    
.5799623           1                           11                       
13.1                     4                          
6.9                             5268250            
                             0
1                           1992                    4.04                    
.49                       1                          
10.8                     15                       
4                           6.7                            
5391442                                          2
2                           1992                    3.35                    
.41                       1                          
10.8                     15                       
4                           6.7                            
5391442                                          2
3                           1992                    2.84                    
.26                       1                          
10.8                     15                       
4                           6.7                            
5391442                                          2

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