Correct.
----- Original Message -----
From: Joel Miller <[email protected]>
Date: Saturday, June 27, 2009 1:04 am
Subject: Re: st: Time series differencing: Should I do both left AND righ hand side ?
To: [email protected]
> David - one more thought. I presume that means in a fixed effects
> model, the dummies drop out? a differenced dummy is simply zero,
> right?
>
> Thanks,
>
> Joel.
>
> On Fri, Jun 26, 2009 at 7:47 PM, David Greenberg<[email protected]> wrote:
> > If you think that the equation in levels correctly expresses the
> functional relationship between the variables, and are differencing
> because of stationarity concerns, then differencing one side of the
> equation calls for differencing the other side as well. If you don't
> do that you will be changing the meaning of the coefficients you
> estimate. For consistency, both sides of the original equation should
> be integrated to the same order. If that is not the case it may
> suggest that the original equation is not specified properly.
> Researchers often ignore these precepts and difference
> opportunistically in order to achieve stationarity, without regard to
> the meanings of the equations they are estimating. David Greenberg,
> Sociology Department, New York University
> >
> > ----- Original Message -----
> > From: Joel Miller <[email protected]>
> > Date: Friday, June 26, 2009 6:40 pm
> > Subject: st: Time series differencing: Should I do both left AND
> righ hand side ?
> > To: [email protected]
> >
> >
> >> Dear colleagues,
> >>
> >> I'm contemplating differencing my dependent variable in a (pooled)
> >> time series analysis to deal with some issues of
> >> stationarity/autocorrelation.
> >>
> >> However, if I do this, do I need to difference my independent
> >> variables too? I remember from high school maths, that what you do
> on
> >> the left hand side you need to do on the right hand side. Does this
> >> apply to differenced time series data?
> >>
> >> Grateful for any explanation on this.
> >>
> >> Regards
> >>
> >> Joel Miller
> >> *
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> >
>
> *
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