You can do it in arima.
lag your dependent variable y, with the command
generate lagy=l.y
You can also model autoregressive and moving average innovations with
arima y lagy x, ar(2) ma(1)
If they are insignificant and you have Gaussian
white noise residuals, you can trim them out of the model.
Regards,
Bob Yaffee
2100 Linwood Avenue
Apt 19-W
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
[email protected]
----- Original Message -----
From: Vera Troeger <[email protected]>
Date: Monday, June 6, 2005 8:25 am
Subject: st: DGP with LDV
> 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:
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> mobil: +49.170.271 1502
>
>
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