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Re: st: Re: Lagged independent variables & panel data


From   Cordula Stolberg <cs32@sussex.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: Lagged independent variables & panel data
Date   Mon, 17 May 2004 15:59:48 +0100

Rafa,

Thanks for your help. I'll look into that.

Cordula

--On 17 May 2004 15:14 +0100 "R.E. De Hoyos" <redeho2@hotmail.com> wrote:

Cordula,

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
<xtserial>):

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.

Rafa

----- Original Message -----
From: "Cordula Stolberg" <cs32@sussex.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
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
regression
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
use?
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,
Cordula
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