st: How to use lags (for each group in panel) with stata command XTPMG? (by Blackburn & Frank 2007)

["Hannu Antero Karhunen" <hannu.a.karhunen@jyu.fi>]

Hey all!

I have a problem concerning lags with XTPMG command in stata (-findit xtpmg). 
How can I incorporate right amount of lags to variables for each individual panel member? What is the most efficient way to do this?

Time series command's (L.L2. etc.) affect all panel groups equally (regions in my study), but I need to find a way to have different lag order for each region when running xtpmg.

I already tried  to use maximum lag order  (same four lags for each variable per region using time series command) and then utilize 
constrain() command to restrict all extra lags to zero (according of BIC information criterion). But when I define constrains to xtpmg, program only recognize the first constrain (it seems that normal string definitions do not work for some reason inside constrain command..).
So I don't really know how to proceed if I cannot use constrain command to equal extra lags to zero...

If someone has used XTPMG, it would be most helpful to hear how lags (defined with information criterion for each group in the panel)  are used with xtpmg.


-- Hannu


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