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st: Using lagged variables in panel data analysis


From   Edward James <ej111005@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Using lagged variables in panel data analysis
Date   Tue, 17 Jan 2012 22:36:33 +0900

Dear Statalist.

Hi, I have a question for conducting a panel data analysis.

I make some lagged variables using "x[_n-1]" commands from 1980 to
2007 and want to conduct GLS.

When I make lagged variables, is the case of the first period supposed
to be "."? But it has a unknown value as you can see below.


	+----------------------------------------+
	country   year   cpiannual   lcpiann~l
	----------------------------------------
197.	Germany   1980    5.441055    1.488074
198.	Germany   1981    6.344242    5.441055
199.	Germany   1982    5.241046    6.344242
200.	Germany   1983    3.293413    5.241046
201.	Germany   1984    2.405797    3.293413
	----------------------------------------

In this case, should I drop the case of 1980?

Thanks.
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