I have a panel and I am trying to estimate a Dynamic OLS. So I generated leads and lags of the variables and then I took first differences. However, the program does not seem to properly deal with first differences of leads. Here is an example: Variable: ln_h. I generate the one period lead: genr ln_h1 = ln_h(+1) and take first differences: diff ln_h1 This is what the program produces: ln_h ln_h1 d_ln_h1 AUS:1971 2.305979 2.300383 AUS:1972 2.300383 2.294755 -0.005628 AUS:1973 2.294755 2.289095 -0.005660 AUS:1974 2.289095 2.283402 -0.005692 ... AUS:2001 2.362927 2.367811 0.004884 AUS:2002 2.367811 2.372671 0.004860 AUS:2003 2.372671 2.377507 0.004836 AUS:2004 2.377507 -0.435318 AUT:1971 1.942189 1.937014 AUT:1972 1.937014 1.931811 -0.005202 AUS:2004 is correctly missing in ln_h1, but not so for d_ln_h1. Indeed, instead of a missing value the program compute the difference between AUT:1971 and AUS:2004 I can solve the problem restricting the sample, but this is probably a bug. See you Giuseppe