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st: Time series differencing: Should I do both left AND righ hand side ?


From   Joel Miller <dr.joel.miller@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Time series differencing: Should I do both left AND righ hand side ?
Date   Fri, 26 Jun 2009 18:38:53 -0400

Dear colleagues,

I'm contemplating differencing my dependent variable in a (pooled)
time series analysis to deal with some issues of
stationarity/autocorrelation.

However, if I do this, do I need to difference my independent
variables too? I remember from high school maths, that what you do on
the left hand side you need to do on the right hand side. Does this
apply to differenced time series data?

Grateful for any explanation on this.

Regards

Joel Miller
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