Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: DGP with LDV


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: DGP with LDV
Date   Mon, 06 Jun 2005 17:06:06 -0400

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
yaffee@nyu.edu

----- Original Message -----
From: Vera Troeger <troeger@mpiew-jena.mpg.de>
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: troeger@mpiew-jena.mpg.de
> 
> Home:
> Wilhelm-Kuelz-Str. 4
> 07743 Jena
> Tel: +49.3641.597 860
> mobil: +49.170.271 1502
> 
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index