A common alternative method is a regres- sion model that adjusts for the lagged dependent variable, which rests on the assumption of ignorability conditional on

Stata has no -lag- command. It does support a lag operator L (see -help varlist-?) 2. The -egen- function you need is not -mean ()- but -rowmean ()-.

In the proc expand line, we will name the new dataset unemp_laglead . We indicate that we do not wish to transform the values (using a spline, for example) but simply to grab … For a panel of firms I first create the following lagged varaibles: #delimit; iis compname; tis newyear; gsort +compname +newyear; #delimit; local varlist1 sales forexsales; foreach var of local varlist1{; by compname: generate L1log`var'= log`var'[_n-1]; by compname: generate L2log`var'= log`var'[_n-2]; by compname: gen D1log`var'= log`var'[_n]-log`var'[_n-1]; }; Next I create : #delimit; iis compname; tis … Cordula, You can create the lagged values. After tsset: gen lagvar = l.var gen dlagvar = l2.var And then include them as regressors in xtreg. xtreg depvar lagvar dlagvar To know more about , read (as cited in the help file for ): Drukker, D. M. 2003. But the use of lagged variables is a fairly common approach when dealing with simultaneity bias in general and creating instrumental variables in particular.

xtset ID Year gen lag1 = L1.Y If you specify delta(5) then a lag 1 variable is missing in all but two observations. xtset ID Year, delta(5) gen lag5 = L1.Y 1. Stata has no -lag- command. It does support a lag operator L (see -help varlist-?) 2. The -egen- function you need is not -mean()- but -rowmean()-. This follows because you want to average across variables here, not observations. 3.

Cordula, You can create the lagged values. After tsset: gen lagvar = l.var gen dlagvar = l2.var And then include them as regressors in xtreg. xtreg depvar lagvar dlagvar To know more about , read (as cited in the help file for ): Drukker, D. M. 2003.

He would like to use that to clean-up his dataset in R. In stata help manual: _n contains the Here the final data would be 4 800 observations (4 variables X 30 occasions X 40 subjects) nested in 40 subjects. I would like to test separately (not for model comparison) for : simultaneous (synchronous) effects : the influence of x1, x2, and x3 at time t on y at time t. lagged effects : the influence of x1, x2, and x3 at time t-1 on y at time t.

variables 1092 Monetary Policy and the German Unemployment Problem in Macroeconomic Models: Theory and Evidence variables 323 lagged 250.

You can create lag (or lead) variables for different subgroups using the by prefix. For example,.

You can create lag (or lead) variables for different subgroups using the by prefix. For example,.
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27 Jun 2016, 04:05. Hi Statalist, I have a simple question, but can not solve it yet. I have tried many times, but yet no solution. In Panel data, I would like to generate lag for dailyMR and lag for liquidity.

Vary often, Y responds Hi all ! I'm new to this forum, and also newbie in Stata.
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Most commands in Stata allow (1) a list of variables, (2) an if-statement, and (3) options. 1. A list of variables consists of the names of the variables, separated with spaces.

Abstract This article introduces the new Stata command spgen, which computes spatially lagged variables in Stata.