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Re:st: Lagged independent variables & panel data

From   Cordula Stolberg <>
Subject   Re:st: Lagged independent variables & panel data
Date   Mon, 17 May 2004 15:29:17 +0100

Dear Andrea,

Thanks so much for you help!! I've done what you suggested and it now works.


--On 17 May 2004 15:50 +0200 sistoand80 <> wrote:

Dear dr.Cordula,
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
d.= first-difference
ld. = lagged level in first-difference

than perform the traditional regression

xtreg x(t) lagx(t) ecc.

Best regards
Andrea Sisto

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