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Re: st: lagged indep vars and panel data

From   Cordula Stolberg <>
Subject   Re: st: lagged indep vars and panel data
Date   Tue, 18 May 2004 09:35:38 +0100


Thanks for your help.


--On 17 May 2004 16:29 -0400 Kit Baum <> wrote:

Cordula said

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
command is only for dynamic panel data models with lagged dependent
variables. I've tried the usual xtreg..., but then Stata tells me that
can't use time series operators. Does anyone know the command I should
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.


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