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Re: st: first difference and time dummies.


From   "Sebastian F. Büchte" <sfbuechte@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: first difference and time dummies.
Date   Wed, 17 Oct 2007 14:27:27 +0200

Alessia

this is a repeat post of your message to the list for which you so far
did not receive any answers. I guess this may be due to an
inconclusive presentation of your "problem". You should try to give
more details as

- you regression command
- variables used and what they mean
- ...

This will certainly increase your chances to be helped out by other
list subscribers.

Regards
Sebastian

2007/10/17, alessia matano <alexis.rtd@gmail.com>:
> 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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