Could you kindly recommend one? I would really
appreciate it.
Thanks,
Carol
--- Jeph Herrin <[email protected]> wrote:
> You may want to post this to a statistics list, this
> is a list
> concerning the use of Stata.
>
> cheers,
> Jeph
>
> Carol Bao wrote:
> > Hi, there,
> >
> > I am running a first differencing model and have
> two
> > estimation questions:
> >
> > 1. For a dichotomous dummy variable, the
> difference
> > can be -1, 0 and 1. Instead of using this
> directly as
> > a regressor, is it econometrically correct to
> generate
> > three new dummy variables respectively for the
> three
> > categorized difference and use them as regressors
> > instead:
> >
> > eg. instead of: \delta Y = \beta \delta X,
> > estimate: \delta Y = \beta1 Z2 + \beta2 Z3, where
> Z2=1
> > if \delta X==0 and Z3=1 if \delta X==1 (default is
> if
> > \delta X=-1).
> >
> > If yes, is there any paper or book chapter that
> can be
> > referred to?
> >
> > 2. Dealing with age and year dummies. Since the
> > difference age is the same for all persons, it
> seems
> > meaningless to use (\delta age) as a regress (or
> does
> > it?) Is it correct to use individual age dummies
> to
> > control for cohort effects? Also, should year
> dummies
> > be included as well? Is there any paper or book
> > chapter that can be referred to in this regard?
> >
> > Any information is highly appreciated.
> >
> > Thank you very much in advance,
> >
> > Carol
> >
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