While helping a student sort out a dynamic panel estimation, I discovered the following. If I take a data set that’s organized as stacked time series, change the structure to stacked cross-sections, then change it back, the second change isn’t implemented. I get a box saying no changes were made. Is this intended behavior?


Also, I have a clarification question: if I estimate a dynamic panel model with y as the dependent variable, the output lists “Dy(-1)” as the first x variable. At first I thought that meant the lagged first difference, but reading the dpanel documentation it seems like this is actually y(-1). It’s the lagged level, right?







Dr. Peter Summers

Assistant Professor

Department of Economics

Texas Tech University