Hello, I am new to stata and statistics.
I am running a panel model (t=17, N=130) with fixed effects. Reading academic work in my subfield I have seen that many scholars tend to lag the explanatory variable to different degrees to ensure exogeneity. Normally only one lag is included, but sometimes up to 5 lags are included in the model. I was wondering whether there is a statistical test that can provide me with some information on the number of lags I should include in my model, or whether this is only a theoretical decision.
thanks a lot for your answers