Questions tagged [first-difference]

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GLS estimation procedure for the Random Effect model

Consider a simple panel regression model: $$y_{it}=\beta x_{it}+a_i+u_{it}=\beta x_{it}+\epsilon_{it}$$ where $\epsilon_{it}=a_i+u_{it}$ Question: I need to explain the fixed effects estimator and the ...
Thinh Pham's user avatar
2 votes
1 answer
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Why include start-of-period values in first difference estimation?

I am currently reading the Paper of Dippel et al. (2015), where the authors estimate the causal effect of imports on voting behavior in Germany. Therefore, they estimate the following first-difference ...
Lea Birm's user avatar
1 vote
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Dummy variables are removed when estimating first-differences

I am currently getting ready for Econometrics 1 exam and I have some problems deriving the FD estimator sometimes. Lets say we have a data set with the following observations: $FoodAS_{it}$ = food ...
Zebraboard's user avatar
3 votes
2 answers
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Fixed effects vs first difference

Or more generally, what are the reasons for the absolute dominance of the fixed effects estimators to control for unobserved heterogeneity in large N, short T panel settings? I get that random effects ...
Papayapap's user avatar
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