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st: selecting the lag structure of independent variables


From   Johannes Schoder <johannes.schoder@soi.uzh.ch>
To   statalist@hsphsun2.harvard.edu
Subject   st: selecting the lag structure of independent variables
Date   Wed, 10 Mar 2010 20:30:36 +0100

Dear Statalist users:

I am trying to find the optimal lag structure of my health production function (lags are usually included because e.g. lifestyle effects do not immediately translate into longer life expectancy) which looks like that: LIFE EXPECTANCY_ct=b_o+b_1 HEALTH CARE EXPENDITURE_ct + b_2 GDP_ct + b_3 ALCOHOL CONSUMPTION_ct

where c=COUNTRY and t=YEAR
Is there a test implemented in Stata which tells me e.g. whether to include GDP lagged 5 years, 10 years or 0 years? Is it maybe possible to use the Hausman Test to choose between two models with different lag structures?

Thanks a lot for any hint!
Regards,
Johannes

--


Johannes Schoder
Socioeconomic Institute
University of Zurich
Hottingerstr. 10
8032 Zurich

Phone: +41 44 634 0612
Fax:   +41 44 634 4987
E-mail: johannes.schoder@soi.uzh.ch

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