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Re: st: Lagged regression DVs: gross or net?


From   David Greenberg <dg4@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Lagged regression DVs: gross or net?
Date   Tue, 24 Feb 2004 21:14:47 -0500

The issue is discussed in Ronald Kessler and David Greenberg, LINEAR PANEL ANALYSIS: MODELS OF QUANTITATIVE CHANGE (Academic Press, 1981). In a nutshell, the two models are equivalent. Take the equation  Y_t = a + b_1*Y_{t-1}+b_2*X_t + e_t. Subtract Y_{t-1} from both sides, which changes nothing. Now the dependent variable is a change score. The only difference is that the coefficient of Y_{t-1} is now b_1 - 1 instead of b_1. For certain types of analyis one version is more convenient than the other, but algebraicly they are interchangeable. David Greenberg, Sociology Department, New York University

----- Original Message -----
From: Clive Nicholas <Clive.Nicholas@newcastle.ac.uk>
Date: Tuesday, February 24, 2004 7:48 pm
Subject: st: Lagged regression DVs: gross or net?

> All,
> 
> When running regression models with lagged terms, is it better to 
> use a
> dependent variable measured by _levels_ or by _first differences_? 
> Or does
> it not matter?
> 
> I ask since the use of any RHS lagged term transforms its 
> interpretationinto one where a short-term process of adjustment is 
> being described.
> 
> Thanks.
> 
> CLIVE NICHOLAS        |t: 0(44)191 222 5969
> Politics Building     |e: clive.nicholas@ncl.ac.uk
> School of Geography,  |f: 0(44)870 126 2421
> Politics & Sociology |
> University of         |
> Newcastle-upon-Tyne  |
> Newcastle-upon-Tyne   |
> NE1 7RU                      |
> United Kingdom              |http://www.ncl.ac.uk/geps
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