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st: lagged indep vars and panel data


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: lagged indep vars and panel data
Date   Mon, 17 May 2004 16:29:29 -0400

Cordula said

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?
Problem is that the xtreg command is very, very old code that was written before L. D. F.
It will work just fine if you create new variables (with generate) equal to the appropriate lags: e.g.

gen lfdi = L.fdi

and so on, and then include those variables in the xtreg regressor list. Other 'xt' commands are more recent inventions, and know how to use the time series operators.

If xtserial detects nonindependence in the errors, it is signalling that the errors within a single panel are not serially independent. Presumably xtgls would be an appropriate estimator in this context. See the discussion in Wooldridge cited in whelp xtserial for more details.

Kit



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