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Re: st: Use lag operators with interaction term, is it correct?
From
Herman Haugland <[email protected]>
To
Statalist - Send questions <[email protected]>
Subject
Re: st: Use lag operators with interaction term, is it correct?
Date
Tue, 20 Aug 2013 11:20:26 +0200
Uff..Sorry, I didn't know about it. I just posted that there in order
to increase my chances of getting an answer. Sorry about that.
Med vennlig hilsen / Best regards,
Herman Haugland
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On Tue, Aug 20, 2013 at 11:18 AM, Nick Cox <[email protected]> wrote:
> 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
> [email protected]
>
>
> On 20 August 2013 09:57, Herman Haugland <[email protected]> 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.
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