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st: long differencing estimator (Hahn et al. 2007)


From   Islam Abdeljawad <islamabdeljawad@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: long differencing estimator (Hahn et al. 2007)
Date   Sat, 1 Oct 2011 09:57:46 -0700 (PDT)

Dear statalist

 How I can do the long differencing estimator suggested by Hahn, Hausman, and Kuersteiner (2007) for highly persistent data series using Stata.
The technique uses long differencing instead of first differencing and iterated two-stage least square in estimating persistent dynamic models with short time dimension.

Appreciate your help

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