Not sure why Stephanie wants to do this, but...
always a better idea to use Stata's time series operators when you can.
program drop _all
program define mydiff
syntax varlist [, order(real 5) ]
di "Differencing `varlist' at order `order'"
matrix D1 = (0.7071, -0.7071)
matrix D2 = (0.8090, -0.5000, -0.3090)
matrix D3 = (0.1942, 0.2809, 0.3832, -0.8582)
matrix D4 = (0.2708, -0.0142, 0.6909, -0.4858, -0.4617)
matrix D5 = (0.9064, -0.2600, -0.2167, -0.1774, -0.1420, -0.1103)
matrix D = D`order'
foreach var of varlist `varlist' {
forv l=1/`order' {
qui gen F`l'`var'=F`l'.`var'
}
mkmat `var' F*`var' , matrix(lags)
drop F*`var'
matrix F`var'=lags*D'
svmat F`var'
}
end
sysuse auto,clear
g t=_n
tsset t
mydiff price mpg
desc F*
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
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