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st: ldv when the dv is first-differenced: d.variable and l.variable


From   Carlos Rodriguez <carlosrodriguez1993@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: ldv when the dv is first-differenced: d.variable and l.variable
Date   Sun, 15 Mar 2009 21:53:03 -0700

Dear list,

If the dependent variable is first-differenced (i.e, change in
unemployment -I'm using the d.variable command) and one would like to
control for the lagged dependent
variable on the right-hand side of the regression, should one lag the
"first-differenced variable" (i.e, lagged change in unemployment) or
should one lag the level variable (lagged unemployment -using the
time-series command l.variable).  To be
clearer say you have:

d.unemployment  = dependent variable

Should one use  "l.unemployment" as the
Lagged DV in the right-hand side or should one lagged the
first-differenced variable?

thanks for clarifications

Carlos
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