Re: [Gretl-users] changing panel data structure
On Thu, 10 Feb 2011, Allin Cottrell wrote:
On Thu, 10 Feb 2011, Summers, Peter wrote:
> 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...
[I]t 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.
OK, this "D" was a legacy from the old arbond command, where we
automatically differenced the dependent variable but not the
regressors (other than lagged y). I've now removed the leading "D"
from the lags of the dependent variable in the printout from the
"dpanel" command.
As I said earlier, the model is in fact estimated in differences,
but since it is _consistently_ in differences it's in fact "good
for levels" and there's no need for the "D" label.
Allin Cottrell