st: using lags within -xi-

[Scott Cunningham <scunning@gmail.com>]

I've a panel with 20 years.  I want to estimate a dynamic model with  
fixed effects, and thought I could just use the L.depvar operator  
within -xtreg-, but I'm not having much luck.  The -xi- manual  
("Cross-Sectional Time Series") is not all that helpful under -xtreg-  
on including lags, making me wonder if it is not within -xtreg- where  
you implement lags.  I tried generating, but that's not  
straightforward either, as I appear to be only successful at lagging  
across cross-sectional observations (-gen lm1=mir[_n-1]- will, I  
think, not lag by year, but by cross-sectional observation, and Stata  
doesn't recognize [_t-1]).  I tried using the L.vbl and L2.vbl, but  
it keeps telling me my data is not sorted, which subsequent sorting  
along various lines (sort year, sort variable year, sort year  
variable - none work).

I only have three help volumes here with me at work - Stata 8 -xi-,  
Reference A-F, and Graphics.  The program I'm running is Stata 9.2,  
but my manuals are all Stata 8. 
 
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