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Re: st: RE: Using lagged variables in panel data analysis
From
Nick Cox <[email protected]>
To
[email protected]
Subject
Re: st: RE: Using lagged variables in panel data analysis
Date
Wed, 18 Jan 2012 01:06:47 +0000
No; I don't mean that.
First, -tsset- (or -xtset-) is not a prerequisite for using subscripts.
Second, I am as said recommending -tsset- (or -xtset-) followed by
time series operators such as L.
Time series operators do the right thing with panels and they do the
right thing with gaps in the data.
This is all well documented: e.g. start with -help tsvarlist-.
Nick
On Wed, Jan 18, 2012 at 12:16 AM, Edward James <[email protected]> wrote:
> Thank you Nick.
>
> You mean do I have to conduct -tsset- command first and then make
> lagged variables using -x[_n-1]-?
>
>
>
> 2012/1/18 Nick Cox <[email protected]>:
>> It is usually better to create lagged variables with panel data using -tsset- or -xtset- followed by L.
>>
>> You will always have the problem that there is no value before the first.
>>
>> -drop-ping the first in each panel just makes your plight worse by throwing away some of your data. It can't solve this problem.
>>
>> On the whole, you need do nothing here: Stata's time series and panel commands do what they can with missing values, which usually means ignoring them.
>>
>> Nick
>> [email protected]
>>
>> Edward James
>>
>> I have a question for conducting a panel data analysis.
>>
>> I make some lagged variables using "x[_n-1]" commands from 1980 to
>> 2007 and want to conduct GLS.
>>
>> When I make lagged variables, is the case of the first period supposed
>> to be "."? But it has a unknown value as you can see below.
>>
>>
>> +----------------------------------------+
>> country year cpiannual lcpiann~l
>> ----------------------------------------
>> 197. Germany 1980 5.441055 1.488074
>> 198. Germany 1981 6.344242 5.441055
>> 199. Germany 1982 5.241046 6.344242
>> 200. Germany 1983 3.293413 5.241046
>> 201. Germany 1984 2.405797 3.293413
>> ----------------------------------------
>>
>> In this case, should I drop the case of 1980?
>>
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