r - Treating binary variables for first difference method to solve autocorrelation issue -


i have autocorrelation problem in panel data. decided use first difference method deal problem.

most of independent variables binary. if finite difference method on this, -1, 0, , 1 instead of 0 or 1 before.

is ok?

besides, data set time flow follows not sure how can apply first difference method in case when have multiple difference incidents happening on same day:

     date   id  x   y   z   l   m     b   c   d   e  01/01/2017   0   1   0   0   0   0   1   0   0   7.8  01/01/2017   0   1   0   0   0   1   0   0   1   6.5  01/01/2017 b   0   0   0   0   1   1   0   0   1   6.5  01/03/2017   0   1   0   0   0   0   0   0   0   7.8  01/04/2017 c   0   0   1   0   0   1   0   0   0   6.5  01/04/2017 c   0   0   0   0   0   0   1   0   0   7.3

i sort again according date , id become follows:

    date    id  x   y   z   l   m     b   c   d   e  01/01/2017   0   1   0   0   0   0   1   0   0   7.8  01/01/2017   0   1   0   0   0   1   0   0   1   6.5  01/01/2017 b   0   0   0   0   1   1   0   0   1   6.5  01/03/2017   0   1   0   0   0   0   0   0   0   7.8  01/04/2017 c   0   0   1   0   0   1   0   0   0   6.5  01/04/2017 c   0   0   0   0   0   0   1   0   0   7.3

besides, new data sorting ok use in panel regression , take first difference on utilizing row sequence?

a regressor may either time-invariant, or time-varying. estimators, notably within , first differences estimators coefficients of time-varying regressors identified (cameron , triverdi, microeconometric methods , applications.). of regressors seem time invariant.

you not dealing time series, panel or longitudinal data. of course have repeated id , dates. said, need deal autocorrelation panel data tools arellano-bond , blundell-bond estimators, mention few. see pgmm in r plm package or xtdpdsys or xtabond in stata.

if have more 1 variable identifying panel id, can aggreagate using: r create id within group. if working stata do: egen id = group(sub_id_1 sub_id_2).


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