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From |
David Greenberg <dg4@nyu.edu> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Mon, 29 Jun 2009 14:21:22 -0400 |

Correct. ----- Original Message ----- From: Joel Miller <dr.joel.miller@gmail.com> Date: Saturday, June 27, 2009 1:04 am Subject: Re: st: Time series differencing: Should I do both left AND righ hand side ? To: statalist@hsphsun2.harvard.edu > David - one more thought. I presume that means in a fixed effects > model, the dummies drop out? a differenced dummy is simply zero, > right? > > Thanks, > > Joel. > > On Fri, Jun 26, 2009 at 7:47 PM, David Greenberg<dg4@nyu.edu> wrote: > > If you think that the equation in levels correctly expresses the > functional relationship between the variables, and are differencing > because of stationarity concerns, then differencing one side of the > equation calls for differencing the other side as well. If you don't > do that you will be changing the meaning of the coefficients you > estimate. For consistency, both sides of the original equation should > be integrated to the same order. If that is not the case it may > suggest that the original equation is not specified properly. > Researchers often ignore these precepts and difference > opportunistically in order to achieve stationarity, without regard to > the meanings of the equations they are estimating. David Greenberg, > Sociology Department, New York University > > > > ----- Original Message ----- > > From: Joel Miller <dr.joel.miller@gmail.com> > > Date: Friday, June 26, 2009 6:40 pm > > Subject: st: Time series differencing: Should I do both left AND > righ hand side ? > > To: statalist@hsphsun2.harvard.edu > > > > > >> 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 > >> * > >> * For searches and help try: > >> * http://www.stata.com/help.cgi?search > >> * http://www.stata.com/support/statalist/faq > >> * http://www.ats.ucla.edu/stat/stata/ > > * > > * For searches and help try: > > * http://www.stata.com/help.cgi?search > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Time series differencing: Should I do both left AND righ hand side ?***From:*Joel Miller <dr.joel.miller@gmail.com>

**Re: st: Time series differencing: Should I do both left AND righ hand side ?***From:*David Greenberg <dg4@nyu.edu>

**Re: st: Time series differencing: Should I do both left AND righ hand side ?***From:*Joel Miller <dr.joel.miller@gmail.com>

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