Unbalanced panel data with N&gt;T

Hi Everyone,

I have unbalanced panel data with N=432 and T=5; I use these following command to set the panel data:

Code:

egen float cid = group(ciq_id)
by cid (event_date), sort: gen int event_num = _n
xtset cid event_num
xtpcse gw pr_vlow pr_low pr_mod act_ins pass_ins tobinq ln_tasset trans_psize earn_vol, correlation(psar1) rhotype(tscorr)

So far the reading on the forum discussion; I found that for large N and smaller T; xtpcse is not recommended. However, xtpcse giving me the expected result than xtreg. So can I used xtpcse ??

Also, as I am checking the GW capitalisation in M&A; which might have vary industry to industry. For example IT industry have higher intangibles than manufacture industry. So, do I need to control for industry in xtpcse; if the answer of using xtpcse is yes.

Code:

* Example generated by -dataex-. To install: ssc install dataex
clear
input float gw byte(pr_vlow pr_low pr_mod act_ins pass_ins) float(tobinq ln_tasset trans_psize earn_vol) int year str10 event_date str11 ciq_id float cid int event_num byte(ind1 ind2 ind3 ind4 ind5 ind6 ind7 ind8 ind9 ind10 ind11)
 45.09632  3  3 0  5 1          0  10.94074  .7068703  .04632137 2017 "01/11/2017" "IQ108478"     1  1 0 0 0 0 0 0 0 0 1 0 0
-14.77466  7  7 0 13 2  1.2749357  8.715349 .56495875 .010436605 2017 "05/04/2017" "IQ10865062"   2  1 0 1 0 0 0 0 0 0 0 0 0
 45.62962  2 14 1 20 0  2.9791374  5.100787  .6840889  .15059853 2018 "20/11/2018" "IQ109237360"  3  1 0 0 0 0 0 0 1 0 0 0 0
 43.34332  5  8 5 16 4    .741592  8.207647  .7195947  .16023184 2016 "10/02/2017" "IQ11323462"   4  1 0 0 1 0 0 0 0 0 0 0 0
 21.19874  5 12 1 14 4  4.5862775  5.655292 1.0900174  .03847843 2016 "10/06/2016" "IQ125070"     5  1 0 0 0 0 0 0 0 0 0 1 0
        0  3 13 0 12 5   6.445186  7.821641  .6120828  .11832643 2017 "01/08/2016" "IQ12701813"   6  1 0 0 0 0 0 0 1 0 0 0 0
        0  3 12 1 12 5  1.2524964  8.074779  .8069388   .1719883 2014 "04/09/2014" "IQ12701813"   6  2 0 0 0 0 0 0 1 0 0 0 0
        0  3 12 1 12 5  2.3486466  8.048149  .6583275  .04865163 2018 "24/04/2018" "IQ12701813"   6  3 0 0 0 0 0 0 1 0 0 0 0
        0  3 12 1 12 5   4.107602  7.641084  .4760563   .1594351 2016 "28/04/2016" "IQ12701813"   6  4 0 0 0 0 0 0 1 0 0 0 0
        0  3 13 0 12 5  2.6877005  8.167352  .6535212 .036284003 2018 "29/11/2018" "IQ12701813"   6  5 0 0 0 0 0 0 1 0 0 0 0
33.333332  2  5 4 13 2  2.0798388  7.435119 .51108444  .06770538 2018 "05/10/2017" "IQ127549"     7  1 0 1 0 0 0 0 0 0 0 0 0
28.320526  2  5 5 13 2  4.0743504  6.632397     .7848  .09842006 2015 "07/01/2015" "IQ127549"     7  2 0 1 0 0 0 0 0 0 0 0 0
 41.94373  2  5 4 13 2   2.922854  7.046473  .5202776  .08406912 2016 "15/06/2016" "IQ127549"     7  3 0 1 0 0 0 0 0 0 0 0 0
  87.4477  7  8 2 16 3  2.0726833  6.558056 .48396635   .0989163 2017 "23/05/2016" "IQ12786753"   8  1 0 0 0 0 0 1 0 0 0 0 0
        0  8 10 0 18 2   1.735604  8.513006 .26132056 .012381244 2014 "27/02/2015" "IQ128346"     9  1 0 0 0 0 0 1 0 0 0 0 0
 43.03898  7 11 0 14 4   2.200085   7.36916  .6559633  .05362834 2016 "01/09/2016" "IQ128363"    10  1 0 0 0 0 0 0 0 0 1 0 0
 50.79365  9  9 0 14 4   2.575897  7.140532 .53027695  .15260392 2014 "10/12/2014" "IQ128363"    10  2 0 0 0 0 0 0 0 0 1 0 0
 64.86487  7 11 0 14 4  1.9081098  7.285575 .36985785   .0729919 2016 "17/06/2016" "IQ128363"    10  3 0 0 0 0 0 0 0 0 1 0 0
 44.11765  8 10 0 14 4   2.437931   7.41986  .4271894  .02359144 2017 "17/10/2017" "IQ128363"    10  4 0 0 0 0 0 0 0 0 1 0 0
 51.91638  9  9 0 14 4   3.004004  7.140532  .4701186  .15447624 2014 "22/07/2014" "IQ128363"    10  5 0 0 0 0 0 0 0 0 1 0 0
 55.92105  8 10 0 14 4   2.880259  7.248859  .4710317   .1375902 2015 "23/01/2015" "IQ128363"    10  6 0 0 0 0 0 0 0 0 1 0 0
 41.66667  7 11 0 14 4  2.1084511  7.285575  .3410721  .09040423 2016 "23/02/2016" "IQ128363"    10  7 0 0 0 0 0 0 0 0 1 0 0
 48.95833  9  9 0 14 4   2.969656  7.140532  .3167499  .15447624 2014 "23/07/2014" "IQ128363"    10  8 0 0 0 0 0 0 0 0 1 0 0
  63.2115  8 10 0 14 4   2.566206  7.494931  .6827808  .03826413 2017 "26/01/2018" "IQ128363"    10  9 0 0 0 0 0 0 0 0 1 0 0
 59.80392  7 11 0 14 4  2.1565263   7.36916 .40921015  .05362834 2016 "26/07/2016" "IQ128363"    10 10 0 0 0 0 0 0 0 0 1 0 0
 77.42664  8  8 1 13 4   8.777114  6.787958 .55848676   .6119792 2015 "04/12/2014" "IQ128420"    11  1 0 0 0 0 0 1 0 0 0 0 0
 86.86806  5 10 0 13 4   1.105569  8.404226  .6055085  .18826684 2014 "01/09/2014" "IQ128711"    12  1 0 0 0 0 0 0 1 0 0 0 0
125.09789  6 10 0 13 4   .5493683   8.30395  .9562588  .19011395 2017 "06/10/2017" "IQ128711"    12  2 0 0 0 0 0 0 1 0 0 0 0
  56.8082  6 10 0 13 4  1.2936165  8.301397  .5088191   .1500267 2017 "23/05/2017" "IQ128711"    12  3 0 0 0 0 0 0 1 0 0 0 0
37.063953  3  9 2 12 2  2.1642492  5.479805  .7721449  .07526188 2018 "23/11/2017" "IQ128773"    13  1 0 0 0 0 0 0 1 0 0 0 0
 35.61644  2 10 2 12 2  2.3229728  5.185709 .59519094  .09872203 2015 "25/06/2015" "IQ128773"    13  2 0 0 0 0 0 0 1 0 0 0 0
 115.6178  7  5 1 12 3  4.7565603  7.534709  .7383147   .1612532 2015 "08/06/2015" "IQ129432"    14  1 0 0 0 0 0 0 1 0 0 0 0
162.73764  5  7 1 12 3   2.257098  7.928982  .4123567    .310837 2018 "12/07/2017" "IQ129432"    14  2 0 0 0 0 0 0 1 0 0 0 0
 86.82569  8 10 1 15 5  226.18066  6.324578 1.3233376   .3290654 2015 "02/02/2016" "IQ1303244"   15  1 0 0 0 0 0 0 1 0 0 0 0
23.908216  8 10 2 16 4  2.1114342         0         0          0 2015 "01/09/2015" "IQ131475881" 16  1 0 0 0 0 0 0 1 0 0 0 0
124.09593  4 11 0 15 2  3.1071374  7.249357 1.1343791  .13483274 2017 "28/02/2018" "IQ133094"    17  1 0 1 0 0 0 0 0 0 0 0 0
 164.0078  4  5 6 15 2   4.660632  6.816845  .7812899  .06999147 2017 "28/02/2017" "IQ134228"    18  1 0 0 0 0 0 0 0 1 0 0 0
 63.11611  6 11 2 15 5  2.2338889  5.445444 1.3440043   .3518517 2015 "01/02/2016" "IQ13759215"  19  1 0 0 0 0 0 1 0 0 0 0 0
 86.53846  6 12 1 15 5  2.1046946  7.433109  .4628505  .13973218 2017 "01/10/2017" "IQ13759215"  19  2 0 0 0 0 0 1 0 0 0 0 0
 26.24585  6 12 1 15 5  1.9201174  7.404706  .4597786  .10747407 2017 "09/08/2017" "IQ13759215"  19  3 0 0 0 0 0 1 0 0 0 0 0
67.234726  6 12 1 15 5   2.454017  7.433109 1.0917548   .1509565 2018 "28/03/2018" "IQ13759215"  19  4 0 0 0 0 0 1 0 0 0 0 0
32.936253  8  9 0 15 4   7.303023  6.455566  .8889237   .1726787 2018 "13/02/2018" "IQ137717"    20  1 0 1 0 0 0 0 0 0 0 0 0
 28.93868  8  9 1 15 4  4.4508476  6.320459 .55899924  .21420245 2017 "14/10/2016" "IQ137717"    20  2 0 1 0 0 0 0 0 0 0 0 0
 51.72414  8  9 0 15 4  4.3016515  6.924907   .512587  .07506222 2019 "18/12/2018" "IQ137717"    20  3 0 . 0 0 0 0 0 0 0 0 0
16.667912  8  9 1 15 4  4.0091543   5.68197  .5787039   .4735217 2016 "20/10/2015" "IQ137717"    20  4 0 1 0 0 0 0 0 0 0 0 0
36.745113  8  9 1 15 4   3.813961  5.828699   .840543   .4870552 2016 "22/04/2016" "IQ137717"    20  5 0 1 0 0 0 0 0 0 0 0 0
 59.66189 10  9 0 16 3  1.4620914  6.412094   .397319  .14755143 2014 "08/08/2014" "IQ139028"    21  1 0 0 0 0 0 0 0 1 0 0 0
   58.188 10  9 0 16 3   1.240803  6.437489  .4267214  .14844026 2015 "11/02/2015" "IQ139028"    21  2 0 0 0 0 0 0 0 1 0 0 0
102.59841  8 11 0 16 3  1.1794367  6.434023  .3422589  .11519176 2016 "25/04/2016" "IQ139028"    21  3 0 0 0 0 0 0 0 1 0 0 0
 73.16337  9 10 0 16 3   1.408955  6.457744  .4183654  .12523067 2015 "28/10/2015" "IQ139028"    21  4 0 0 0 0 0 0 0 1 0 0 0
 69.29979 10  9 0 16 3    1.35794  6.437489  .4814215  .14733094 2015 "29/04/2015" "IQ139028"    21  5 0 0 0 0 0 0 0 1 0 0 0
  60.4904  9 10 0 16 3  1.3944824  6.457744  .3340326  .12523067 2015 "30/10/2015" "IQ139028"    21  6 0 0 0 0 0 0 0 1 0 0 0
 51.23967  8  8 0 15 3  1.4340242  6.794475  .4689623  .04738871 2016 "01/12/2016" "IQ140988979" 22  1 0 0 1 0 0 0 0 0 0 0 0
 76.74419  8  8 0 15 3  1.1392905  6.725394  .4230101 .023749994 2015 "03/03/2016" "IQ140988979" 22  2 0 0 1 0 0 0 0 0 0 0 0
 61.61616  8  8 0 15 3  1.1826544  6.725394  .3408774 .023749994 2015 "04/03/2016" "IQ140988979" 22  3 0 0 1 0 0 0 0 0 0 0 0
20.454546  8  8 1 15 3          0  6.508024  .4406712  .07705548 2015 "23/01/2015" "IQ140988979" 22  4 0 0 1 0 0 0 0 0 0 0 0
     80.8  8  8 0 15 3  1.6233526  6.771133 .37301415  .05949943 2017 "26/05/2017" "IQ140988979" 22  5 0 0 1 0 0 0 0 0 0 0 0
        0  6 10 2 15 3  1.1844574  6.273256 .47754025          0 2016 "10/03/2016" "IQ144617841" 23  1 1 0 0 0 0 0 0 0 0 0 0
 82.10876  7  9 0 13 4   5.322278  5.118718  .5086821  .14184272 2015 "19/01/2015" "IQ159857"    24  1 0 0 0 0 0 0 1 0 0 0 0
 75.57429  6 10 0 13 4  3.6900694  5.634665  .8060394   .0856735 2016 "27/11/2015" "IQ159857"    24  2 0 0 0 0 0 0 1 0 0 0 0
 62.82051  7 10 0 13 4  3.4636676  5.999681 .45790285 .069276854 2017 "28/09/2016" "IQ159857"    24  3 0 0 0 0 0 0 1 0 0 0 0
  98.2421  7  9 0 13 4  3.2941134  5.118718  .7738124  .14430177 2015 "30/04/2015" "IQ159857"    24  4 0 0 0 0 0 0 1 0 0 0 0
 91.19497  6  7 3 15 4   7.649644  6.894062 .50180376  .20565496 2016 "03/12/2015" "IQ159951597" 25  1 0 0 0 0 0 0 0 1 0 0 0
74.117645  6  7 3 15 4          0  6.941867  .4081342  .19605495 2016 "05/06/2015" "IQ159951597" 25  2 0 0 0 0 0 0 0 1 0 0 0
 83.68056  6  7 3 15 4   9.930466  6.961106  .6818843  .21359757 2017 "22/03/2017" "IQ159951597" 25  3 0 0 0 0 0 0 0 1 0 0 0
1.9417475  6  8 2 15 4          0  6.941867  .3359534   .1562892 2015 "610/2014"   "IQ159951597" 25  4 0 0 0 0 0 0 0 1 0 0 0
 41.81818  4  8 1 13 2 -19.281736  6.477434 .56359637  .04259192 2015 "13/07/2015" "IQ1612223"   26  1 0 0 1 0 0 0 0 0 0 0 0
        0  4 13 0 15 3  2.8224194  6.182901 .48684725  .21491793 2019 "01/01/2019" "IQ163883"    27  1 0 0 0 0 0 0 0 0 1 0 0
        0  8  9 1 15 4  1.5030514  6.805107  .6711062 .005908147 2015 "01/12/2014" "IQ1661655"   28  1 1 0 0 0 0 0 0 0 0 0 0
 58.60906  6  9 1 13 5  17.084677 10.143016  .9171839  .03825172 2016 "29/01/2016" "IQ171577"    29  1 0 1 0 0 0 0 0 0 0 0 0
        4  5 10 3 16 3   5.879874  5.739793  .5219234  1.6568766 2017 "08/09/2017" "IQ22353222"  30  1 0 0 0 1 0 0 0 0 0 0 0
  9.22797  7 10 1 14 5  1.0232966 12.927017  .6385888  .23064737 2017 "01/05/2017" "IQ22385966"  31  1 0 0 0 0 0 0 0 1 0 0 0
19.139967  6  9 1 14 4   1.457052  7.132421  .4035988  .06939473 2016 "28/04/2016" "IQ22637298"  32  1 0 0 0 0 0 0 1 0 0 0 0
 74.58163  6 11 1 15 5    1.29154  8.397892  1.045707  .09281812 2018 "01/09/2017" "IQ23046303"  33  1 0 0 0 0 0 0 1 0 0 0 0
136.77954  6 11 1 15 5  2.1938803  8.441541  .6664875  .03917558 2016 "02/05/2016" "IQ23046303"  33  2 0 0 0 0 0 0 1 0 0 0 0
152.45636  7 11 0 15 5  -821.0311  6.348773 1.1394833  .07741594 2015 "20/11/2014" "IQ23046303"  33  3 0 0 0 0 0 0 1 0 0 0 0
  77.6251  6 11 1 15 5  3.1849635  8.441541 .33170995  .05835354 2017 "30/09/2016" "IQ23046303"  33  4 0 0 0 0 0 0 1 0 0 0 0
34.210526  5 12 0 14 4   3.696166  7.826842  .4647578  .12923749 2016 "08/09/2015" "IQ23049465"  34  1 0 0 0 0 0 1 0 0 0 0 0
 22.27074  5 12 0 14 4   2.857201  7.631917  .7119735  .12683764 2014 "15/07/2014" "IQ23049465"  34  2 0 0 0 0 0 1 0 0 0 0 0
  23.5942  5 12 0 14 4   3.625462  7.826842  .9522336  .12923749 2016 "28/07/2015" "IQ23049465"  34  3 0 0 0 0 0 1 0 0 0 0 0
108.42105  7 10 0 15 5   3.543067   5.88666 .56906706   .1568422 2018 "11/12/2018" "IQ23649699"  35  1 1 0 0 0 0 0 0 0 0 0 0
 45.72649  7 11 0 14 5  2.0538359  7.152973  .4407588    .134699 2017 "12/12/2017" "IQ23723165"  36  1 0 0 1 0 0 0 0 0 0 0 0
  84.9518  3 12 2 15 2   3.785996  7.085143  .3593769  .00299331 2017 "01/12/2017" "IQ246118617" 37  1 1 0 0 0 0 0 0 0 0 0 0
 62.35944  2 12 3 15 2   2.907872  6.649241  .6173817 .001089424 2016 "04/05/2016" "IQ246118617" 37  2 1 0 0 0 0 0 0 0 0 0 0
11.234042  7 10 1 18 1  13.721142  4.984846  .4942687    .366169 2017 "25/05/2017" "IQ24767267"  38  1 0 1 0 0 0 0 0 0 0 0 0
  84.9631  6 10 1 15 5   4.816336  6.800282  .6890638  .09439363 2016 "14/12/2016" "IQ25039170"  39  1 0 0 0 0 0 0 1 0 0 0 0
 90.87098  5 10 1 15 5   4.643522  5.574433 1.0875347  .15236424 2015 "15/06/2015" "IQ25039170"  39  2 0 0 0 0 0 0 1 0 0 0 0
 83.92484  7  7 4 15 5   7.495785  6.922348  .7914299   .1251474 2017 "31/01/2018" "IQ25039170"  39  3 0 0 0 0 0 0 1 0 0 0 0
 44.17879  8  7 1 13 5  1.8282033  8.308618 .54960155  .03919857 2018 "02/07/2018" "IQ25438"     40  1 1 0 0 0 0 0 0 0 0 0 0
 26.70001  9  6 1 13 5   .7487206  8.124002  .9404028  .05209268 2016 "03/02/2016" "IQ25438"     40  2 1 0 0 0 0 0 0 0 0 0 0
31.827515  8  7 1 13 5   1.275575  8.308618  .5510936  .04277435 2018 "26/11/2018" "IQ25438"     40  3 1 0 0 0 0 0 0 0 0 0 0
        0  4  7 3 14 1  .58714914  7.606529  .7608331          0 2015 "02/03/2015" "IQ25614355"  41  1 0 0 0 0 0 0 1 0 0 0 0
 71.15385  8  9 1 14 5  1.9351708  7.108817 .54100186  .09165671 2019 "17/10/2018" "IQ25667953"  42  1 0 0 0 0 0 0 0 1 0 0 0
  51.0917  8  9 1 14 5  1.8921824  7.108817  .4404582  .09165671 2019 "20/11/2018" "IQ25667953"  42  2 0 0 0 0 0 0 0 1 0 0 0
 40.63018  7  9 2 14 5    4.77439  6.612175  .6199672   .4988415 2017 "21/12/2016" "IQ25667953"  42  3 0 0 0 0 0 0 0 1 0 0 0
  52.7027  7  9 2 14 5    4.84305  6.612175  .3026961   .4785642 2017 "31/01/2017" "IQ25667953"  42  4 0 0 0 0 0 0 0 1 0 0 0
 40.66194  7 13 0 16 4  1.6317124 10.361957  .7714067  .11112481 2018 "24/06/2018" "IQ257151"    43  1 0 1 0 0 0 0 0 0 0 0 0
 57.64962  7 10 1 17 3  1.8082197  7.763976  .3537576   .0714347 2018 "01/03/2018" "IQ26363497"  44  1 0 0 0 0 0 0 1 0 0 0 0
 90.35305  8  9 2 17 3   1.604006  7.763976  .4323369  .07560599 2018 "01/04/2018" "IQ26363497"  44  2 0 0 0 0 0 0 1 0 0 0 0
 83.23645  7 10 1 17 3  2.1170616  7.647356 .56487745  .07775287 2017 "02/10/2017" "IQ26363497"  44  3 0 0 0 0 0 0 1 0 0 0 0
end

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Unbalanced panel data with N>T