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From | Clive Nicholas <clivelists@googlemail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: AR(1) model with sign flip |
Date | Wed, 4 Aug 2010 07:56:26 +0100 |
Pedro Ferreira wrote: > Hi All, I am trying to predict Internet penetration and thus running a > model of the form I(i,t) = a +p I(i,t-1) + r G(i,t) + X(i,t) b + > e(i,t). I run reg I L.I G X. p is positive and significant. X are > controls and G is the level of engagement in a policy program, which I > am interested in testing. Therefore, I am taking differences and > trying reg D.I LD.I D.G D.X. Strangely, p flips to negative and > significant! Any ideas? I must be dealing with a wrong specification, > but I am clueless about what to do. I tried D.I L.I G X and get > p=-0.66. The original specification I L.I G X gives me p=0.33. Makes > sense, but the differenced one D.I LD.I D.G D.X yields p=-0.46! Help > is much appreciated. Thank you, all the best, Pedro I don't think that the -reg- command is suitable for the model you want to fit, given that you have a lagged dependent variable in it. Assuming serial dependence only, -prais- is better. Assuming serial dependence _and_ heteroscedasticity, you'd be better off fitting it with -ivreg2- from Baum, Schaffer and Stillman (SSC). Others may have better suggestions. -- Clive Nicholas [Please DO NOT mail me personally here, but at <clivenicholas@hotmail.com>. Please respond to contributions I make in a list thread here. Thanks!] "My colleagues in the social sciences talk a great deal about methodology. I prefer to call it style." -- Freeman J. Dyson. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/