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It doesn't. And this is evident by the fact that you do not see it in
the output. You need to include both of them as:
webuse friedman2, clear
reg D.consump D.m2 L2.D.consump, vce(robust)
reg D.consump D.m2 L(1/2).D.consump, vce(robust)
However, your problem is probably better handled by -prais- (1st order
only) or -arima-.
arima consump m2, arima(2, 1, 0)
T
On Sat, May 30, 2009 at 4:46 PM, <[email protected]> wrote:
> Hello,
>
> I'm running OLS and including a 2nd-order lagged dependent variable as a regressor. I would like to know if when we use "L2.name of dependent variable" in Stata we also need to include "L1.name of dependent variable". I am not sure if "L2." in Stata automatically includes the latter as well.
>
> Thanks.
>
> Have a nice weekend
> Carola
>
>
>
>
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
To every ω-consistent recursive class κ of formulae there correspond
recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
belongs to Flg(κ) (where v is the free variable of r).
*
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