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Re: st: Modelling lagged effects
From
Robson Glasscock <[email protected]>
To
[email protected]
Subject
Re: st: Modelling lagged effects
Date
Thu, 27 Oct 2011 07:53:09 -0400
I'm not familiar with differentiating between "short-term" and
"long-term" interpretations of the model. The interpretation of the
log-log coefficients is an elasticity. The interpretation of the
log-lin coefficients is a continuous proportional change which may be
converted to a discrete change using exp(beta_hat)-1. Jeffrey
Wooldridge's Introductory Econometrics: A Modern Approach 4(e) covers
this.
best,
Robson Glasscock
On Thu, Oct 27, 2011 at 5:11 AM, Basti Boss <[email protected]> wrote:
> Hello,
>
> I've got panel data for artist-sales over a few years on weekly base. The model structure is a dependent lag model with a few explanatory variables: lnYit = a + lnB Yit-1 + lnC ADV + D + Err ...
> D is a group of dummy variables like gender, etc and time dummys.
>
> How do I interpret the coefficients of this model, are they all short-term elasticities and have to be converted by (e.g.LTadv= C / (1-B)) and what about the coefficient of the dummy-variables, are they already long-term elasticites (is there any literature about that available)?
>
> Thanks for your help
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