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  • Interpreting log-log results with first difference

    I have data that explores the relationship between Port activity (TEU) and industrial real estate vacancy/availability (avail). Availability is not a stationary variable, so I have taken the first difference to find it as stationary. My data are quarterly.

    My model has the difference in log-availability as a function of the first lag in log-teu.

    I've specified the following regression and with the following results


    Code:
    arima d.ln_avail l.ln_teu  l.ln_avail if tin(2002q1,), ar(1)
    The coefficient on l1.ln_availability is b = -0.143

    How do I interpret the coefficient in l1.ln_teu ? Is this a standard elasticity? ("A one percent increase in TEU is associated with a 0.143% decrease in availability in a subsequent quarter")?

    Or is there a different interpretation given that the Y variable is a first difference?

    Thanks!


    Code:
    clear
    
    **SET YOUR WORKING DIRECTORY
    cd "C:\yourdirectory"
    
    use "baltportsindustrial.dta", clear
    
    **set TS**
    tsset qdate, quarterly
    
    **check ac in Y variable***
    ac avail
    ac ln_avail
    ac d.ln_avail
    
    
    **regression**
    arima d.ln_avail l.ln_teu l.ln_avail if tin(2002q1,), ar(1)
    
    **tests for staionarity in residuals**
    predict resid
    dfuller resid, nocons lags(2)
    dfuller resid, nocons
    Last edited by Michael Rodriguez; 09 Aug 2019, 08:52.
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