st: xtlogit - lagged dependent variable as independent variable

[Andreas Schiffelholz <Andreas.Schiffelholz@gmx.de>]

Hello,

I'm currently working with a company dataset in the form of an 
unbalanced panel (overall sample size: 1.300 company years, T: 10, X: 
~170 different companies). One of two strategic types was assigned to 
each of the company years. To get a better understanding, why companies 
are pursuing a specific strategic type, I am using a random effects 
model -xtlogit, re-:

- xtlogitstrategystrategy_lag1company_agecompany_sizeindustryyear, re -
with "industry" and "year" being a set of dummy variables.

Part of this model is the independent variable "strategy_lag1" which is 
the strategic type (dependent variable) of the previous year. This 
variable is added to get a better understanding of the stability of the 
strategic type in terms of time. As far as I know there is an adjustment 
of the model needed when adding lagged dependent variables to the model. 
I did find the -xtabond- command for linear models, which is using the 
adjustment procedure suggested by Arellano, Bond (1991). For the xtlogit 
model I did not find a comparable command.

Given the characteristics of my data set, is there an adjustment of the 
standard -xtlogit, re- model needed? Does the answer to this question 
change if I add additional variables with longer lags to the regression 
(strategy_lag2, strategy_lag3, …)? If so, is this adjustment implemented 
into Stata or does anybody know a user programmed command dealing with 
this issue?

Thanks very much,
Andreas Schiffelholz

P.S.: This is my first time posting something on Statalist. If the 
description of my problem is not precise enough or if I broke a specific 
rule of the list, please let me know.

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