In addition to the lag operator, Stata has a difference operator that
understands panel data (see -whelp varlist- for more info).
One way to construct your variables would be with a -foreach- loop.
foreach var of varlist x_1 - x_n {
gen `var'_fd = d.`var'
}
Scott
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of david reinstein
Sent: Tuesday, June 08, 2004 5:00 PM
To: [email protected]
Subject:
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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