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

From   Nick Cox <>
Subject   Re: st: long differencing estimator (Hahn et al. 2007)
Date   Sat, 1 Oct 2011 18:14:15 +0100

Quotation from

Precise literature references please! Please do not assume that the
literature familiar to you is familiar to all members of Statalist. Do
not refer to publications with just minimal details (e.g., author and
date). Questions of the form “Has anyone implemented the
heteroscedasticity under a full moon test of Sue, Grabbit, and Runne
(1989)?” admittedly divide the world. Anyone who has not heard of the
said test would not be helped by the full reference to answer the
question, but they might well appreciate the full reference.


On Sat, Oct 1, 2011 at 5:57 PM, Islam Abdeljawad
<> wrote:

>  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.

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