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st: first difference and time dummies.


From   "alessia matano" <alexis.rtd@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: first difference and time dummies.
Date   Wed, 17 Oct 2007 14:18:40 +0200

Hi,
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..

Another question: stata automatically put the constant in rthe
regression. To mantain the structure of the level equation should it
be not right to take it off??


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

Many thanks
alessia

p.s. I am sorry, I already sent this email, but it was yesterday in
the night. so I am trying again last time
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