Question

How would I use given data to generate lags? For example, I am given the variable DMortgage. How would I generate lags of DMortgage(t): DMortgage (t-1), DMortgage (t-2), DMortgage (t-3), and DMortgage (t-4)?

Answer 1

In STATA

Create lag (or lead) variables using subscripts.

        . gen lag1 = x[_n-1]
        . gen lag2 = x[_n-2]
        . gen lead1 = x[_n+1]

You can create lag (or lead) variables for different subgroups using the by prefix. For example,

        . sort state year 
        . by state: gen lag1 = x[_n-1]

In R

Lag a Time Series

Description

Compute a lagged version of a time series, shifting the time base back by a given number of observations.

lag is a generic function; this page documents its default method.

Usage

lag(x, ...)

## Default S3 method:
lag(x, k = 1, ...)

Arguments

x	A vector or matrix or univariate or multivariate time series
k	The number of lags (in units of observations).
...	further arguments to be passed to or from methods.

lag {stats}

R Documentation