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From   "david reinstein" <[email protected]>
To   [email protected]
Date   Tue, 08 Jun 2004 17:59:41 -0400

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 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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