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st: re: dynamic FE in Stata


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: dynamic FE in Stata
Date   Fri, 22 Apr 2005 08:40:34 -0400

V. Sarafidis wrote


Is there any obvious way to run fixed effects with dynamics in Stata (8)?

For example the following model:

Y(i,t)=a(i) + b*X(i,t) + d*(Xi,t-1)+u(i,t)

where X is strictly exogenous

And Mark suggests xtabond(2). No need for that; OLS will do a perfectly good job on this model. You cannot use xtreg,fe directly in Stata 8 b/c it does not recognize time series ops. But

gen lx = L.x
xtreg y x lx, fe

will work fine.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html

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