May 17, 2004 · st: Re: Lagged independent variables & panel data. 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 <xtserial>, read (as cited in the help file for <xtserial>): Drukker, D. M. 2003. Dec 10, 2003 · In this paper, we consider identification and estimation in panel data discrete choice models when the explanatory variable set includes strictly exogenous variables, lags of the endogenous dependent variable as well as unobservable individual‐specific effects.
Apr 30, 2018 · Lagged dependent variable model - strict exogeneity - Duration: 3:35. Ben Lambert 33,412 views