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st: AR(1) model with sign flip


From   Pedro Ferreira <pedro.ferreira.cmu@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: AR(1) model with sign flip
Date   Tue, 3 Aug 2010 23:28:05 -0400

Hi All, I am trying to predict Internet penetration and thus running a
model of the form I(i,t) = a +p I(i,t-1) + r G(i,t) + X(i,t) b +
e(i,t). I run reg I L.I G X. p is positive and significant. X are
controls and G is the level of engagement in a policy program, which I
am interested in testing. Therefore, I am taking differences and
trying reg D.I LD.I D.G D.X. Strangely, p flips to negative and
significant! Any ideas? I must be dealing with a wrong specification,
but I am clueless about what to do. I tried D.I L.I G X and get
p=-0.66. The original specification I L.I G X gives me p=0.33. Makes
sense, but the differenced one D.I LD.I D.G D.X yields p=-0.46! Help
is much appreciated. Thank you, all the best, Pedro
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