Re: [Gretl-users] Bug with leads of first differences in panels?
On Sun, 5 Dec 2010, Giuseppe Vittucci wrote:
I have a panel and I am trying to estimate a Dynamic OLS.
So I generated leads and lags of the variables and then I took first
differences.
However, the program does not seem to properly deal with first
differences of leads.
Here is an example...
What version of gretl are you using? And is your dataset
recognized by gretl as a panel? (It should say "panel" in the
main window, under the listing of series.) I tried the following
and could not replicate the problem you describe:
open greene14_1.gdt # a panel dataset
logs C
series l_C1 = l_C(+1)
diff l_C1
print l_C l_C1 d_l_C1 --byobs
The series l_C1 and d_l_C1 both have missing values at the last
observation for each panel group, as expected.
One point to note is that if you take the first difference of a
series previously defined as a lead you lose an observation
unnecessarily at the start of the data. You can preserve the extra
observation by doing, e.g.
d_l_C1 = l_C(+1) - l_C
Allin Cottrell