Hi Stata Experts:

I would to use -xtdpdml- to estimate dynamic panel cross-lagged model.

My model is Y(t)=aY(t-1)+bX(t-1)+cX(t-1)*A+dZ(t)+error term(t)

My main interest variable is interaction term between X(t-1) and A. Both X and A are categorical variables, with 18 categories.

May I know whether -xtdpdml- can accommodate interaction term like this? and how to code this categorical variable? may I directly use i.X##i.A? If not, could you please give a brief example how to code this interaction term in -xtdpdml-?

Thanks

Connie