Hi All

I have an example of a regression model with leads and lags, and I was wondering if I am correctly applying the model.

Code:
* Example generated by -dataex-. To install: ssc    install    dataex
clear
input float(date pay ts rffr v g)
10958  .003072932  .29   4.10969 25.36 1.4429667
10989  .002277957  .36  4.235481 21.99 1.4218084
11017  .001953625  .24 4.0758677 19.73 1.4245716
11048  .000364741  .39  3.779569 19.52 1.3445238
11078  .001375698  .44  3.729078 17.37  1.209214
11109   .00021848  .38  3.825053  15.5 1.2280583
11139 -.000291317  .53  3.612278 21.11 1.1734573
11170 -.001968612  .97  3.534173  29.9  1.124311
11201  -.00081227 1.13 3.3682854 29.11  1.129638
11231 -.001452778 1.17  3.392179 30.04 1.4229046
11262 -.001372483 1.08  3.128228 22.16 1.5700403
11292 -.000512877 1.03  2.770234 26.38  1.607198
end
format %td date
Code:
sort date
gen date_id = _n
sort date_id
tsset date_id

// I would like to run the following regression:
// Y(t+h) = a + B(i)Y(t-i) + Delta*g + Controls + epsilon (t+h)
// Y = pay; h = 3; Controls = [ts, rffr, v]
// The model chooses lag lengths through AIC

varsoc pay // Chooses Lag Length

regress F3.pay L1.pay g ts rffr v, robust
Anyone kind enough to see if my code is right, or anything needs to be corrected / improved.

Thanks all for any help provided.

Regards
Parvesh