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Re: st: xtreg with lag

From   Scott Cunningham <>
Subject   Re: st: xtreg with lag
Date   Tue, 18 Oct 2005 07:35:00 -0400

On Oct 18, 2005, at 4:38 AM, Dirk Nachbar wrote:

Dear all

I want to do a panel regression where I have also a lag on the rhs of the equation, but trying

xtreg y l.y

doesn't work. also i cannot generate a lag variable. how should i do it?


Dirk Nachbar
You probably know this, but if you're using fixed effects, then including a lag of the dependent variable is going to violate the strict exogeneity assumptions required for consistent estimates. You may want to look into Arrelano and Bond's dynamic GMM estimator, (- xtabond- in Stata).

But, if you want to run -xtreg- with lagged dependent variables, then you can always generate a variable for those lags. I think the command would be - gen ly=[_n-1] - or something like that.

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