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  • Is there a command that does forward orthogonal deviation transformation for unbalanced panel data?

    Hi
    I am new in Stata list and have a question. I have an unbalanced panel data set and I want to do forward orthogonal deviation transformation on my data prior to use a particular estimator. I wondered if there is a command in Stata that does this for me?

  • #2
    I do not know of any command that delivers the FOD-transformed data. You may have to compute the FODs by hand. A google search delivers the following contribution to the old Statalist: http://www.stata.com/statalist/archi.../msg00283.html
    https://www.kripfganz.de/stata/

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    • #3
      You may also be able to use -xtdpd- or user-written -xtabond2- , which both have an FOD option.

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      • #4
        There exists a code by Inessa Love that does the Helmert transformation / forward-orthogonal deviations: helm.ado
        You can download the program at http://www.rdecker.net/code
        https://www.kripfganz.de/stata/

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        • #5
          Partly inspired by this thread, I have developed a new Stata module that creates forward orthogonal deviations (and other time-series transformations):
          TSTRANSFORM: new Stata module for time-series transformations of variables
          https://www.kripfganz.de/stata/

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          • #6
            Originally posted by Sebastian Kripfganz View Post
            Partly inspired by this thread, I have developed a new Stata module that creates forward orthogonal deviations (and other time-series transformations):
            TSTRANSFORM: new Stata module for time-series transformations of variables
            Sebastian Kripfganz

            Good day sir

            Thank you for developing the FOD transformation command - much appreciated. I am working on a balanced panel however when I do forward orthogonal deviation transformation, the data becomes unbalanced with 1 wave left out of the data, in addition some of the variable that contained data are now negative/missing making it impossible to run xthreg command as it works on balanced data.

            How would I go about to move forward in this situation.

            Thank you for your help

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            • #7
              I am glad you find my tiny program useful.

              Suppose you have a time / wave variable, let it be named time, and suppose for example that this time variable runs from 1 to 10. After doing all the FOD transformations that you need, you could drop the last time period / wave from your data set, because these observations will be missing for the transformed variables.
              Code:
              drop if time == 10
              This will re-balance your data set. (Make sure to have a copy of the original data set.)

              As a side comment: What is the reason of doing the FOD transformation before the use of the xthreg command? The latter applies itself a demeaning procedure to remove the fixed effects.
              https://www.kripfganz.de/stata/

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              • #8
                hi; please I would like to know how can I do the helmert transformation ? Is there any command or syntax to do it ?

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                • #9
                  Originally posted by dada gh View Post
                  hi; please I would like to know how can I do the helmert transformation ? Is there any command or syntax to do it ?
                  You might find my command tstransform helpful. Among other transformations, it allows to compute the Helmert transformation (also known as forward orthogonal deviations). For more details, please see
                  TSTRANSFORM: new Stata module for time-series transformations of variables
                  https://www.kripfganz.de/stata/

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