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st: RE: Panel data: large number of linear time trends
From
Nick Cox <[email protected]>
To
"'[email protected]'" <[email protected]>
Subject
st: RE: Panel data: large number of linear time trends
Date
Fri, 24 Feb 2012 17:49:43 +0000
Maligning all those who presumably gave advice on this with a blanket criticism is not the best way to win friends and influence people, to allude to a once well-known book.
Why is this thought or implied to be so difficult?
. webuse grunfeld, clear
. statsby slope=_b[year] , by(company) : regress mvalue year
(running regress on estimation sample)
command: regress mvalue year
slope: _b[year]
by: company
Statsby groups
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
..........
. l
+--------------------+
| company slope |
|--------------------|
1. | 1 56.35872 |
2. | 2 1.46263 |
3. | 3 7.183384 |
4. | 4 8.91579 |
5. | 5 10.77564 |
|--------------------|
6. | 6 33.69406 |
7. | 7 .4736842 |
8. | 8 27.8215 |
9. | 9 7.434586 |
10. | 10 -.563985 |
+--------------------+
Nick
[email protected]
William Gui Woolston
I am estimating a panel data model, where the unit of observation is a
county-year. There are roughly 3,100 counties in the United States,
and I have data for 12 years.
I wish to include linear county-time trends. That is, I want a
separate time trend for each county.
Estimating this model by "brute force" (by interacting time with a
dummy for each county) would mean having an additional 3,100 variables
to my model. Is there a more efficient way to estimate this model?
Thank you so much for your consideration.
William
PS. Note that some versions of this question have appeared in earlier
Statalist threads
(http://www.stata.com/statalist/archive/2011-05/msg00035.html, for
exacmple), but none of them provides a satisfactory answer.
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