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Re: st: Lagged dependent variables: L2.


From   Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Lagged dependent variables: L2.
Date   Sat, 30 May 2009 20:12:01 +0100

<>
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It doesn't. And this is evident by the fact that you do not see it in
the output. You need to include both of them as:

webuse friedman2, clear
reg D.consump D.m2 L2.D.consump, vce(robust)
reg D.consump D.m2 L(1/2).D.consump, vce(robust)

However, your problem is probably better handled by -prais- (1st order
only) or -arima-.

arima consump m2, arima(2, 1, 0)

T

On Sat, May 30, 2009 at 4:46 PM,  <herrera.carola@yahoo.com> wrote:
> Hello,
>
> I'm running  OLS  and including a 2nd-order lagged dependent variable as a regressor.  I would like to know if when we use "L2.name of dependent variable" in Stata we also need to include "L1.name of dependent variable".  I am not sure if "L2." in Stata automatically includes the latter as well.
>
> Thanks.
>
> Have a nice weekend
> Carola
>
>
>
>
>
>
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-- 
To every ω-consistent recursive class κ of formulae there correspond
recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
belongs to Flg(κ) (where v is the free variable of r).

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