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st: first differences and time dummies

From   "alessia matano" <>
Subject   st: first differences and time dummies
Date   Tue, 16 Oct 2007 22:14:06 +0200


I would like to ask you one thing i do not well understand: I am
performing a regression in first differences. In the level equations i
was using time dummies, now i do not know.
1) if i use them in differences (which take value1 0 -1) the
regression does not work anymore. I think it is not correct to use
such modified dummies (they are not more dummies)
2) if i use them in levels (they are 0 1), also the regression does
not work and i think it is not right to assign to a single year the
impact of the difference between two years
3) if i do not use them it works, and it has closer results for the
level equation.

I am asking also if not trying to create such dummies which take value
of 1 for the two years the difference concerns, but i am not sure it
has sense..

Anyone of you can help me or suggest me something to read about?
Many thanks
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