Qurat:
in long T, small N panel datasets you can add the -i.panelid- and a squared term for -timevar- to investigate potential turning point, as in the following toy-example:
As the outcome does not support the evidence for turning point, the linear term (or -i.year-) is probably the way to go:
-testparm- outcome does not support the evidence of the joint significance of -i.time-.
in long T, small N panel datasets you can add the -i.panelid- and a squared term for -timevar- to investigate potential turning point, as in the following toy-example:
Code:
. use http://www.stata-press.com/data/r15/invest2 . xtgls invest market stock i.company c.time##c.time Cross-sectional time-series FGLS regression Coefficients: generalized least squares Panels: homoskedastic Correlation: no autocorrelation Estimated covariances = 1 Number of obs = 100 Estimated autocorrelations = 0 Number of groups = 5 Estimated coefficients = 9 Time periods = 20 Wald chi2(8) = 1505.04 Log likelihood = -561.653 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------- invest | Coef. Std. Err. z P>|z| [95% Conf. Interval] --------------+---------------------------------------------------------------- market | .1067342 .0154291 6.92 0.000 .0764938 .1369745 stock | .360213 .0326232 11.04 0.000 .2962727 .4241533 | company | 2 | 56.58426 58.67971 0.96 0.335 -58.42586 171.5944 3 | -160.9345 41.61103 -3.87 0.000 -242.4907 -79.37841 4 | 28.55782 59.07646 0.48 0.629 -87.22991 144.3455 5 | 175.1112 41.3142 4.24 0.000 94.1369 256.0856 | time | 1.1721 4.913048 0.24 0.811 -8.457298 10.8015 | c.time#c.time | -.0989248 .2392159 -0.41 0.679 -.5677793 .3699297 | _cons | -86.2353 70.45214 -1.22 0.221 -224.319 51.84836 ------------------------------------------------------------------------------- .
Code:
. xtgls invest market stock i.company i.time Cross-sectional time-series FGLS regression Coefficients: generalized least squares Panels: homoskedastic Correlation: no autocorrelation Estimated covariances = 1 Number of obs = 100 Estimated autocorrelations = 0 Number of groups = 5 Estimated coefficients = 26 Time periods = 20 Wald chi2(25) = 1852.07 Log likelihood = -551.8661 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ invest | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- market | .1260306 .0199352 6.32 0.000 .0869582 .1651029 stock | .3617764 .030956 11.69 0.000 .3011038 .4224491 | company | 2 | 127.6598 71.85344 1.78 0.076 -13.17037 268.49 3 | -114.3793 49.70343 -2.30 0.021 -211.7962 -16.96232 4 | 100.1193 72.18316 1.39 0.165 -41.35707 241.5957 5 | 221.2348 48.80957 4.53 0.000 125.5698 316.8998 | time | 2 | -39.55323 40.75388 -0.97 0.332 -119.4294 40.32291 3 | -88.14978 45.33628 -1.94 0.052 -177.0073 .7077036 4 | -68.78843 38.55563 -1.78 0.074 -144.3561 6.779217 5 | -119.1439 40.40383 -2.95 0.003 -198.3339 -39.95381 6 | -89.04318 41.24527 -2.16 0.031 -169.8824 -8.203932 7 | -23.11078 40.68394 -0.57 0.570 -102.8498 56.62828 8 | -13.7191 38.85216 -0.35 0.724 -89.86795 62.42974 9 | -54.27664 39.62219 -1.37 0.171 -131.9347 23.38144 10 | -56.97186 39.81186 -1.43 0.152 -135.0017 21.05794 11 | -73.18178 41.14196 -1.78 0.075 -153.8185 7.454967 12 | -31.06858 41.96616 -0.74 0.459 -113.3207 51.18358 13 | -30.44892 39.47631 -0.77 0.441 -107.8211 46.92323 14 | -35.47242 39.77744 -0.89 0.373 -113.4348 42.48992 15 | -85.85061 40.23306 -2.13 0.033 -164.706 -6.995251 16 | -81.26772 40.58741 -2.00 0.045 -160.8176 -1.717866 17 | -63.89134 42.50002 -1.50 0.133 -147.1899 19.40717 18 | -62.64179 43.57669 -1.44 0.151 -148.0505 22.76696 19 | -68.87581 47.70983 -1.44 0.149 -162.3853 24.63373 20 | -109.4707 48.44522 -2.26 0.024 -204.4215 -14.51978 | _cons | -113.0192 76.14074 -1.48 0.138 -262.2523 36.21389 ------------------------------------------------------------------------------ . testparm i.time ( 1) 2.time = 0 ( 2) 3.time = 0 ( 3) 4.time = 0 ( 4) 5.time = 0 ( 5) 6.time = 0 ( 6) 7.time = 0 ( 7) 8.time = 0 ( 8) 9.time = 0 ( 9) 10.time = 0 (10) 11.time = 0 (11) 12.time = 0 (12) 13.time = 0 (13) 14.time = 0 (14) 15.time = 0 (15) 16.time = 0 (16) 17.time = 0 (17) 18.time = 0 (18) 19.time = 0 (19) 20.time = 0 chi2( 19) = 22.09 Prob > chi2 = 0.2796 .
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