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st: gmm and differencing


From   oliazim <oliazim@yandex.ru>
To   statalist@hsphsun2.harvard.edu
Subject   st: gmm and differencing
Date   Tue, 14 Sep 2010 18:30:57 +0400

Dear Statalist members,

Please let me know which command is for differencing the time series (to delete the unit root) and is it possible to test for unit root the panel data with results displaying every panel result separetly? (so i will not need to split now my panel in time-series..)
(I use Stata11).

Also, is it necessary to difference my series before estimation by gmm model?

Thank you in advance,

Olga

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