Keywords

#first-difference_estimator

First-difference estimator

In statistics and econometrics, the first-difference (FD) estimator is an estimator used to address the problem of omitted variables with panel data. It is consistent under the assumptions of the fixed effects model. In certain situations it can be more efficient than the standard fixed effects estimator, for example when the error terms follows a random walk.

Fri 30th

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First-difference estimator Fixed effects model Estimator Arellano–Bond estimator Panel data Bias of an estimator Point estimation Difference in differences Hodges–Lehmann estimator Bayes estimator
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