Currently I am working on my master thesis which is about risk-adjusted returns (Sharpe ratio) of Asian REITs. I just transformed all the data in variables which are ready to use in Stata.
My data consist of year (2002 till 2012), Key (cusip identifier), Country, and all sorts of firm specific characteristics.
For declaring a panel data in Stata, we have to declare two variables - Panel and Time.
But Time variable must be unique, that is, no duplicate time in each panel. But when I declare "Country" as panel variable and "Year" as time variable, there is a problem. Problem is the duplicate year in each panel. For example, Japan has several entries for the year 2002. But for panel data there should not duplicate time values.
I think I need to define a unique time variable or drop time variable from the analysis. Using only panel variable I can run panel data regression, but time series analysis such as unit root can't be run. So, question is how I declare a time variable?