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st: First-difference estimator


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: First-difference estimator
Date   Wed, 09 Jun 2004 15:29:57 +0100

David,

To:             	statalist@hsphsun2.harvard.edu
Date sent:      	Tue, 08 Jun 2004 17:59:41 -0400
From:           	"david reinstein" <david_reinstein@eudoramail.com>
Send reply to:  	statalist@hsphsun2.harvard.edu

> Does Stata  have a built in command or module to implement the first-difference (FD) estimator, 'the pooled OLS estimate from the regression Delta(y_it) on Delta(x_it), t=2,...,T; i=1,2,...N "
> (Wooldridge, 2002, p 280)

I just tried fooling xtreg into doing this by creating an id variable 
set to a constant, but it didn't work, so you probably have to do it 
by hand.

If you do, you should tsset your data and then use Stata's nifty time 
series operators, e.g.,

x_fd = x - L.x

--Mark

> 
> I imagine I could do this manually but there may be some modifications and adjustments necessary to regression statistics.
> If I have to do it manually, what is the easiest way to form the first-differenced variables?  Do I use the indexing [_n], [_n-1], etc?
> 
> 
> 
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
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