I have three questions. The basic model used for -xtlsdvc- is as follows:
y_it = gamma*y_i,t-1 + x'_it*beta + eta_i + e_it
1. Is there any way to specify how many lags of dependent variable we want
to use in -xtlsdvc-, or one lag is the only option? What's the consequence
of including additional lags manually - as regressors?
2. Would bias correction work properly if we use time dummies?
3. I use a large TSCS (n=67, T=398, weekly data), and the bias looks very
small compared to -xtreg, fe-. I guess that asymptotics kick in pretty well.
Since it took Stata 9 forever to calculate robust standard errors (I did use
the highest level of precision O(1/NT^2), is there any advice how to speed
it up, except to buy a better computer?
