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st: gmm first difference and ols, fixed effects
I have the following question. I estimate an equation using gmm in
first difference, and both the ols and fixed effects.
While the estimation in fixed effects and ols are quite similar (I
estimate general elasticities), the estimation with the first
differences gmm are much higher in magnitude, like ten times the
coefficients that I get with the other estimations. I know that in
this case I'm estimating growth rates (d. (ln x-ln x-1)), but I would
like tio understand how is that possible...
do the coefficients should be quite close using first differences and
not equation in level??
How should I interpret the coefficients in the gmm specification??
thanks a lot
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