Hi guys,

I have a potentially very stupid question to ask, but for the life of me I can not figure this out.

I am estimating cartel damages using a dummy variable approach. Essentially I am setting my "cartel dummy" equal to 1 during the cartel and 0 otherwise, as is the standard approach. However, the other variables in my model are non-stationary and as such I am estimating the regression equation in first differences.

When using a level regression, the interpretation of the dummy is relatively straightforward - one can more or less directly compute the percentage overcharge from the coefficient on the dummy variable. Basically, it shows by what percentage was higher but-for the cartel.

My question is, how would one interpret the coefficient on such a dummy variable when all the regressors in the model are in first differences?

Thanks!
Albertus