Dear all,
I am using ppmlhdfe to estimate a gravity model that includes an auto-regressive (AR) term to adjust the dependent variable's potential serial correlation.
In my knowledge, the ppmlhdfe assumes the linear parameters enter the model exponentially, leads me to think of log-transforming the AR if I want to add it linearly. But, it drops the zero values since log(0) = -inf.
Is there a proper way to add a lagged dependent variable, or AR, into my specification using ppmlhdfe?
Or is it not appropriate to add AR at all in ppml?
Best regards,
Dongin
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