Andy,
I would imagine that Stata believes the frequency of your data is yearly,
not every five years. One solution would be to create a new time variable
with consecutive values. For example:
bysort country (year): gen time = _n
and then -tsset country time-
Or you could construct your lagged variable by taking account of the 5 year
gap between observations: -gen lagged_var = l5.var-
Hope this helps,
Scott
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of A.S. Feng
Sent: Saturday, July 03, 2004 7:17 AM
To: [email protected]
Subject: st: panel regression with lagged dependent variable
Dear Listers,
I have panel data on 6 periods (1960, 1965...1985) and 138 countries.
I am trying to run a Fixed Effects regression with lagged dependent
variable (despite knowing there will be correlated effects).
How do I construct the lagged dependent variable? I tried
gen lagy= l.y
but it gave me missing values for all observations.
What am i doing wrong?
Thanks a lot.
Andy
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