Hey to everyone,

as I am facing a problem of a wrongly build autoregressive model I tried to change the model structure accordingly.

Thus, I am trying to integrate an single autoregressive term into my fixed effects model. While I can find multiple discussions about Panel vector autoregressive models etc. where all independent variables are lagged, I cannot find discussions about such single autoregressive terms.

Code:
xtreg Depvar Indepvar L1.c.Indepvar##i.Dummy Controlvar1 Controlvar2 Controlvar3 Controlvar4, fe cluster(id)
Depvar and Indepvar are both stationary. Can I just run this model? Is there something else I have to check for (besides the common Gauss Markow Assumptions) or is the model itself in this form invalid?

I am not choosing the Panel autoregressive model since I would like to implement multiple control variables and the model seem to be too large to use the PVAR structure (there are much more control variables than in the exemplary code line). Moreover, I will estimate a building and simplified PVAR after the regression. So this one here, should represent a more detailed base.

Greetings and thank you in advance!

P.S. sorry for the frequent questions, I am kind of desperate right now