Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
From | Nick Cox <njcoxstata@gmail.com> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | Re: st: Use lag operators with interaction term, is it correct? |
Date | Tue, 20 Aug 2013 10:18:10 +0100 |
This is a cross-posting of http://stats.stackexchange.com/questions/67839/use-lag-operators-with-interaction-term-is-it-correct The FAQ is quite explicit that you are asked to declare cross-postings. Nick njcoxstata@gmail.com On 20 August 2013 09:57, Herman Haugland <herman.haugland@gmail.com> wrote: > Hi, a newbie question here: > > I have a linear model that I am estimating using FE and RE, in which > my explanatory (continuous) variable is lagged, something like this: > > > y = a + bx(t-1) + e > > Stata: xtregar y L.variable, fe/re > > > For my analysis, I need to include a categorical interaction term. > Stata, by using the graphical interface, does not allow me to use lags > with my continuous variable, but it does give me results if I add 'L' > manually, and these are very different to those without the L. > > What Stata graphical interface allows me to do is: > > xtregar y L.variable dummy#c.variable i.dummy, fe > > > And what I need is: > > xtregar y L.variable dummy#Lc.variable i.dummy, fe > > > I am confused since I imagine that if adding lags was OK, Stata would > allow me to add them, wouldn't it? > > 1) Is it correct to add lags to an interaction term? > > 2) In case of that the answer to (1) is NO: If I remove the variable > (L.variable), is it OK to add lags to the interaction term? > > > I am using Stata 12. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/