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st: Forward orthogonal differences


From   Stephen Armah <armah.stephen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Forward orthogonal differences
Date   Mon, 25 May 2009 23:18:54 -0500

Dear all,

Does any one know the code in STATA for implementing forward
orthogonal differences
for unbalanced panel data suggested by Arrellano fo static not dynamic panel?

Specifically I want to implement Forward Orthogonal differences for
unbalanced panel data that does not satisfy strict exogeneity.  This
kind of  differencing subtract the
average of all future observations.

Note that ordinary first differencing subtracts the previous
observation (Xt-Xt-1).


Given a standard model like:

Y =  K + b1X_1 +  b2X_2  +  b3 X_3 + b4 X_4 +   u

where Y is the dependent variable, the X_i are the dependent variable
, K is a constant and u is the error.

Can anyone tell me the code to implement Forward Orthogonal
differences for unbalanced panel data that does not satisfy strict
exogeneity?
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