David,
To: [email protected]
Date sent: Tue, 08 Jun 2004 17:59:41 -0400
From: "david reinstein" <[email protected]>
Send reply to: [email protected]
> 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 just tried fooling xtreg into doing this by creating an id variable
set to a constant, but it didn't work, so you probably have to do it
by hand.
If you do, you should tsset your data and then use Stata's nifty time
series operators, e.g.,
x_fd = x - L.x
--Mark
>
> 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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