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st: transformed lagged dependent variable and stata


From   "Puelz, Robert" <rpuelz@mail.cox.smu.edu>
To   <Statalist@hsph.harvard.edu>
Subject   st: transformed lagged dependent variable and stata
Date   Tue, 24 May 2005 10:22:23 -0500

Statlisters,

First time for me using this list serve.  Hope you can guide me with my following concern.

I am estimating a panel data model that is best described as being of the form,

y(t) = b0 + b1*x + b2*(y(t-1) - z)/q

across 250 cross sectional units each of which has data observed over a 6-year time frame.

I want to approach with xtabond or xtivreg,fd....my question is since my right-hand side variable is not simply the lagged dependent variable, y(t-1) but rather a variable that contains y(t-1), e.g., (y(t-1) - x)/q, what is the preferred approach? Can xtabond and xtivreg deal with that situation and provide with robust standard errors?

Thanks.


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