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Which lagged variable to include? (Wald Tests)
Which lagged variable to include? (Wald Tests)

Hi Statalisters,

I am currently running a FE regression for a 2-period panel data set in China. I have a variable on homicides by state. There are 3 versions of this variable. One is lagged by 1 month, one lagged by 6 months, one lagged by 12 months, and I just don't know which one to use in my regression.

This paper states: "Based on Wald tests for model specification, including six months of lagged homicide rates was preferred to including one month and three months of lagged homicide rates",
https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5076372/

However, they do not say how they carried out these tests/ how exactly they came to this conclusion. Is someone able to provide some guidelines/code showing how exactly I do this?

Many thanks for your help!
Andreas

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