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Re: st: First Difference Interaction Terms: Factor Variables (I'm away)


From   <Rhian.Daniel@lshtm.ac.uk>
To   "statalist" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: First Difference Interaction Terms: Factor Variables (I'm away)
Date   Sun, 11 Dec 2011 18:46:56 +0000

Thank you for your message. However, I am currently on annual leave, returning to work on Monday 19th December. I will reply to your message then.
Best wishes,
Rhian

>>> john sanders <desmochada@gmail.com> 12/11/11 18:41 >>>

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
like

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

Any and all help greatly appreciated.
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