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st: Lagged dependent variable


From   "Vartia, Niini" <Niini.Vartia@iue.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Lagged dependent variable
Date   Tue, 23 Nov 2004 21:00:29 +0100

Dear Statalisters,
 
I have cross-sectional time-series data and my dependent variable is a discrete choice variable. I expect that agents' previous choices affect theĆ­r current choices. Thus, I would like to include a lagged dependent variable in the model. However, I am not sure what would be the right approach. I know that if the errors are correlated over time, the choice in one period is correlated with the erros in subsequent periods. In addition, I do not observe the first choice sitiuation of the agents and thus I think I face also the so-called initial condition problem. 
 
I would be grateful for any help on how to deal with these problems in Stata. I would also be grateful for any reference dealing with these issues in the setting of discrete choice models.
 
thank you in advance.
 
Best reagards,
 
Laura Vartia

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