Hi,
The -xtdpd- command in Stata 11 allows you to set lag ranges for the differenced equation using the -lagrange()- suboption inside the the -dgmmiv()- option. However, I can't appear to set lag ranges for the LEVELS equation because there is no corresponding -lagrange()- suboption for -lgmmiv()-. The ideal model I would like to run is
xtdpd y L.y x, dgmmiv(y, lagrange(3 5)) iv(x) lgmmiv(y, lagrange(2 4))
The closest I can do is
xtdpd y L.y x, dgmmiv(y, lagrange(3 5)) iv(x) lgmmiv(y)
Any help is appreciated.
John
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