Vera
my talk at the 11th UK Stata Users Group meeting (UKSUG)
presented the code XTARSIM doing what you ask for panel data (for time series
just set the number of individuals to unity). You can download it (along with
help and examples files) from
http://www.stata.com/meeting/11uk/abstracts.html
Giovanni
Vera Troeger <[email protected]>:
> how can I program a data generating process that includes a lagged
> dependent variable?
>
> eg: y_it=alpha+beta1*y_it-1+beta2*x_it*epsilon
>
> thanks, Vera
>
> --
> Vera E. Troeger
> Max Planck Institute for Research into Economic Systems
> Kahlaische Strasse 10
> D-07745 Jena
> Germany
> Tel: +49.3641.686 728
> Fax: +49.3641.686 710
>
> e-mail: [email protected]
>
> Home:
> Wilhelm-Kuelz-Str. 4
> 07743 Jena
> Tel: +49.3641.597 860
> mobil: +49.170.271 1502
--
Giovanni Bruno
Istituto di Economia Politica, Universit� Bocconi
Via U. Gobbi, 5, 20136 Milano
Italy
tel. + 02 5836 5411
fax. + 02 5836 5438
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