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st: Choosing lag structure in panel data
Dear all, I have a panel data set and I wonder how to choose a lag structure for the independent variable. I want to regress y on x with fixed-effects or FD estimation. Theoretical considerations suggest that lagged values of x might also have an impact on y, but they are not very specific on how long the lag effect might last. Any advice on how many lags to choose and how to decide between different models with different lag structures?
Any help greatly appreciated. Thanks, Eric Neumayer (email@example.com)
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