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- Sun Mar 30, 2014 10:30 am
- Forum: Econometric Discussions
- Topic: SGMM and unit roots
- Replies: 0
- Views: 1572
SGMM and unit roots
Hi guys, I am running SGMM (Blundell-Bond) regressions on panel data with lots of unit roots, so I was wondering if it is reasonable to take first differences of the variables and run SGMM on them, so that the level equation used by sgmm would be in reality a first-differenced equation and the diffe...