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st: using interactions with lags


From   Scott Cunningham <scunning@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: using interactions with lags
Date   Fri, 29 Sep 2006 09:44:18 -0400

Is it possible to use indicator variables interacted with lagged variables using within OLS? For instance,

xi:reg Y i.race*l(0/11)*X i.year, robust

In other words, I want to interact the race dummy variable with 11 lags of the X regressor. I appear unable to do this using the above syntax. SHould I, instead, move to generating the dummies manually and then interacting that with the lag? In other words, is it the - i- operator that is causing the problem?

scott
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