On Thu, 10 Feb 2011, Summers, Peter wrote: > While helping a student sort out a dynamic panel estimation, I > discovered the following. If I take a data set that's organized > as stacked time series, change the structure to stacked > cross-sections, then change it back, the second change isn't > implemented. I get a box saying no changes were made. Is this > intended behavior?
That doesn't sound right -- I'll look into it. > Also, I have a clarification question: if I estimate a dynamic > panel model with y as the dependent variable, the output lists > "Dy(-1)" as the first x variable. At first I thought that meant > the lagged first difference, but reading the dpanel > documentation it seems like this is actually y(-1). It's the > lagged level, right? Well, the model is actually estimated in first differences (with lagged levels entering as instruments, not as regressors). Differencing is used to sweep out fixed effects. But it seems there's a notational inconsistency in that the dependent variable appears in its own right in the model header while its lag appears with a "D" for difference. Allin Cottrell
