Dummy Variable in difference equation
Posted: Wed Feb 17, 2016 7:31 pm
Hello,
I am doing panel dynamic GMM using "dynamic panel wizard", in which each variable is first differenced.
I want to include time dummy variable so that i can compare coefficients of the first period and those of the second half period.
In my model specification,
Bond Bond(-1) Short Inflation GDP CA Debt Debt*Dummy1.
Here, i am afraid that my dummy variable is differenced. Is there any way i can keep it non-differenced when other variables are differenced?
Thank you
With best,
Sam
I am doing panel dynamic GMM using "dynamic panel wizard", in which each variable is first differenced.
I want to include time dummy variable so that i can compare coefficients of the first period and those of the second half period.
In my model specification,
Bond Bond(-1) Short Inflation GDP CA Debt Debt*Dummy1.
Here, i am afraid that my dummy variable is differenced. Is there any way i can keep it non-differenced when other variables are differenced?
Thank you
With best,
Sam