st: panel regression with lagged dependent variable

["A.S. Feng" <asf30@cam.ac.uk>]

Dear Listers,

I have panel data on 6 periods (1960, 1965...1985) and 138 countries.

I am trying to run a Fixed Effects regression with lagged dependent 
variable (despite knowing there will be correlated effects).

How do I construct the lagged dependent variable? I tried 
gen lagy= l.y

but it gave me missing values for all observations.

What am i doing wrong?

Thanks a lot.

Andy
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