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st: Lag operators on panel data inside -bysort-


From   Richard Herron <richard.c.herron@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Lag operators on panel data inside -bysort-
Date   Mon, 29 Oct 2012 11:02:49 -0400

I would like to use lag operators on panel data inside a -bysort-
command, but I get the -not sorted- error. For example, using the
following data,

*
webuse grunfeld, clear
xtset company year

* generate quantiles with -xtile- from -egenmore- (SSC)
egen invest_q = xtile(invest), by(year)
*

neither of the following two lines work.

*
bysort invest_q: regress mvalue l.invest
bysort invest_q (company year): regress mvalue invest[_n-1]
*

I thought -xtset-'s effects were persistent, but the error makes
sense. Is there an elegant solution? (It would be nice to be able to
use lag operators on the fly.) Or is the best option to generate
lagged variables as follows.

*
generate linvest = l.invest
*

Thanks!
*
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