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st: lag length selection in unbalanced panel


From   spyridoula dimou <speniadimou@yahoo.gr>
To   stata users <statalist@hsphsun2.harvard.edu>
Subject   st: lag length selection in unbalanced panel
Date   Tue, 27 Sep 2011 20:04:18 +0100 (BST)

Hi all!
I am using an unbalanced panel, for which I want to perform the Fisher stationarity test. Therefore, I have to choose the appropriate number of lags to include. As the varsoc command does not work in panel data, I have tried to derive the optimal number of lags using the HQIC as proposed by http://www.stata.com/statalist/archive/2005-02/msg00264.html. 
When coming to perform my test, I copy the procedure proposed, changing the variable names and write 
xtfisher y, lag(`opt_lag'). 
Then stata displays:
option lag() incorrectly specified
What is the mistake I make? When running the procedure using the 
http://fmwww.bc.edu/ec-p/data/hayashi/sheston91.dta 
everything works fine...

I would be grateful if you could respond!

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