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st: Re: xtreg with LDV


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: xtreg with LDV
Date   Sat, 19 Jun 2004 07:57:04 -0400

On Jun 19, 2004, at 2:33 AM, Clive wrote:


The second problem is that I wish to include a lagged term on the depvar.
I know how to do this correctly (gen lag = l.edconch), but there are two
problems here. First, there are gaps in the time series. Now I could use
- -tsfill-, but I want the lag to latch on the correct EDYEAR, rather than
incorrectly onto a year for which there no elections. The second problem
is that adding the lagged term knocks out a lot of the time dummies. Is
there a way round this?

Adding a lagged dep var casts this into the dynamic panel data framework, best handled by David Roodman's xtabond2. One cannot just toss a LDV into an xtreg, fe and expect that the results will make sense (or even be consistent).

Kit

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