Re: st: using interactions with lags

[Michael Hanson <mshanson@mac.com>]

On Sep 29, 2006, at 9:44 AM, Scott Cunningham wrote:

> Is it possible to use indicator variables interacted with lagged  
> variables using within OLS?  For instance,
>
> xi:reg Y i.race*l(0/11)*X i.year, robust
>
> In other words, I want to interact the race dummy variable with 11  
> lags of the X regressor.  I appear unable to do this using the  
> above syntax.   SHould I, instead, move to generating the dummies  
> manually and then interacting that with the lag?  In other words,  
> is it the -i- operator that is causing the problem?
	One likely "problem" is with your notation:  L(0/11)*X is not a  
valid expression for the lag operator.  Instead, I suspect you may  
mean L(0/11).X, as in:

xi:reg Y i.race*L(0/11).X i.year, robust

See -help tsvarlist- for additional information.  I do not know for  
sure if Stata will accept the combination of -xi- with the lag  
operator, as I do not have a suitable dataset to test it.  Hope this  
helps.

					-- Mike

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