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st: First Difference Interaction Terms: Factor Variables

From   john sanders <>
To   statalist <>
Subject   st: First Difference Interaction Terms: Factor Variables
Date   Sun, 11 Dec 2011 13:41:37 -0500

I am trying to figure out the proper specification for a first
differenced model with continuous interaction terms:

Are the interaction terms supposed to be
1. interacted and then differenced?
2. differenced then interacted?

In either case, I believe STATA 12 now lets one use time series
operators with factor variables. Would the proper specification look

reg demand  D.(c.size##c.price)

Any and all help greatly appreciated.
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