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Re:st: Lagged independent variables & panel data
if the problem is that the lagged explanatory variable is endogenous you can use the command "ivreg2" an extension of traditional ivreg that allows for GMM estimation and other possible estimation methods for dynamic panel data.
If there's not an endogeneity problem I know that "xtreg" command don't allow for time series operator. You have to proceed as follow
First step: generate lagged explanatory variable:
for example: generate x(t-1) ---"gen lagx(t) = l.x(t)"
The time series operator are
l. = lagged level
f. = led level
ld. = lagged level in first-difference
than perform the traditional regression
xtreg x(t) lagx(t) ecc.
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