Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down on April 23, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
Sami Alameen <samialameen@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: first-difference regression |

Date |
Wed, 28 Sep 2011 00:19:48 +0300 |

Correcting previous post, I was talking about the dependent variable all the time. It's, I guess, a matter of of what we believe about the data: if the data is very long (t is large) and we believe the dependent variable is constant, on average, over time (the sum of its differences over time should be zero) then not including a constant is ok. but usually the mean change in the dependent variable is not zero especially in short panels (short t), then the constant measures the average of changes in the dependent variable and a constant should be included. I don't know of a theoretical justification of which, but this piece of information is the usual practical justification. If we believe that the unemployment rate is 6 (the hypothesized natural rate), then if the difference in the unemployment rate is the independent variable, the expected value is zero, thus no constant. However, if the dependent variable is differences of inflation rate. In advanced economies, in normal times, the expected and targeted inflation rate is 2% for example, then a constant is needed. (assuming a continuously updated chain price index for example) * * 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: first-difference regression***From:*donsaane dontsi <donsaane@yahoo.fr>

**Re: st: first-difference regression***From:*Sami Alameen <samialameen@gmail.com>

- Prev by Date:
**Re: st: RE: How is pooled OLS corrected for heteroschedasticity different from the FE model?** - Next by Date:
**Re: st: weights in pooled repeated cross sections** - Previous by thread:
**Re: st: first-difference regression** - Next by thread:
**Re: st: first-difference regression** - Index(es):