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st: Re: Lagged independent variables & panel data
You can create the lagged values. After tsset:
gen lagvar = l.var
gen dlagvar = l2.var
And then include them as regressors in xtreg.
xtreg depvar lagvar dlagvar ...
To know more about <xtserial>, read (as cited in the help file for
Drukker, D. M. 2003. Testing for serial correlation in linear panel-data
models. Stata Journal (3)2: 168-177.
As you pointed out, there are several ways of correcting for autocorrelation
and <xtabond> is one of them.
----- Original Message -----
From: "Cordula Stolberg" <firstname.lastname@example.org>
Sent: Monday, May 17, 2004 2:06 PM
Subject: st: Lagged independent variables & panel data
> Hi all,
> I have a question about a panel data model. I want to estimate a
> containing lagged x's, but no lagged y's, i.e.
> frag fdi l.fdi l2.fdi & some dummies
> I'm not sure how to do that with Stata. As far as I can see, the xtabond
> command is only for dynamic panel data models with lagged dependent
> variables. I've tried the usual xtreg..., but then Stata tells me that I
> can't use time series operators. Does anyone know the command I should
> Moreover, I have a question with regard to the xtserial command. I've used
> it for a random effects model (I had already detected heteroskedasticity)
> and have found autocorrelation. How do I then correct for that? I know
> there are the various xtgls commands to correct for autocorrelation, but
> I'm not sure which type of autocorrelation xtserial is referring to.
> Sorry for the long mail & thanks for you help,
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