Re: st: RE: Using lagged variables in panel data analysis

[Edward James <ej111005@gmail.com>]

Thank you Nick.

You mean do I have to conduct -tsset- command first and then make
lagged variables using -x[_n-1]-?



2012/1/18 Nick Cox <n.j.cox@durham.ac.uk>:
> It is usually better to create lagged variables with panel data using -tsset- or -xtset- followed by L.
>
> You will always have the problem that there is no value before the first.
>
> -drop-ping the first in each panel just makes your plight worse by throwing away some of your data. It can't solve this problem.
>
> On the whole, you need do nothing here: Stata's time series and panel commands do what they can with missing values, which usually means ignoring them.
>
> Nick
> n.j.cox@durham.ac.uk
>
> Edward James
>
> I have a question for conducting a panel data analysis.
>
> I make some lagged variables using "x[_n-1]" commands from 1980 to
> 2007 and want to conduct GLS.
>
> When I make lagged variables, is the case of the first period supposed
> to be "."? But it has a unknown value as you can see below.
>
>
>        +----------------------------------------+
>        country   year   cpiannual   lcpiann~l
>        ----------------------------------------
> 197.    Germany   1980    5.441055    1.488074
> 198.    Germany   1981    6.344242    5.441055
> 199.    Germany   1982    5.241046    6.344242
> 200.    Germany   1983    3.293413    5.241046
> 201.    Germany   1984    2.405797    3.293413
>        ----------------------------------------
>
> In this case, should I drop the case of 1980?
>
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