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


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
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