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Re: st: xtpcse and the need for a lagged DV in pooled time-series


From   Clive Nicholas <clivelists@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtpcse and the need for a lagged DV in pooled time-series
Date   Mon, 6 Apr 2009 21:38:35 +0100

Edward Crenshaw wrote:

> Does the xtpcse command in Stata automatically eliminate the need to
> introduce lagged dependent variables in pooled time-series?  I realize there
> may be theoretical reasons for including lagged DV's, but does xtpcse
> eliminate the statistical need for such lags?  I've had reviewers tell me
> yes AND no, so I'm a little confused on this point.

Briefly, it doesn't. If your theory calls for the use of LDVs in PCSE
models, there's nothing wrong with using them. Who says so? None other
than Neal Beck and Jon Katz themselves:

http://polmeth.wustl.edu/workingpapers.php?text=Time-series--cross-section&searchkeywords=T&order=dateposted

(Click on the bottom link for their 2004 paper.)

-- 
Clive Nicholas

[Please DO NOT mail me personally here, but at
<clivenicholas@hotmail.com>. Please respond to contributions I make in
a list thread here. Thanks!]

"My colleagues in the social sciences talk a great deal about
methodology. I prefer to call it style." -- Freeman J. Dyson.

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