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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