Bookmark and Share

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, is already up and running.

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

Re: st: first-difference regression

From   Christopher Baum <>
To   "" <>
Subject   Re: st: first-difference regression
Date   Wed, 28 Sep 2011 04:02:20 -0400

On Sep 28, 2011, at 2:33 AM, donsaane wrote:

> When you run a first- difference method, do you always
> put : noconstant ?  For example : reg dx dy, noconstant, or
> you just run it like OLS . eg : reg dx dy
> Because I read an article and they put «noconstant» , so I
> want to know if when we run a first difference, we always put «noconstant»

If you write down a linear model in levels and take first differences, the constant disappears.
If one of the regressors is a time trend, its difference is constant, and your FD regression will have a constant term.
If you do not believe there should be a trend in the level equation, then you should not use a constant in the FD equation.


Kit Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index