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Lagged Dependent Variables

  1. B. Jones,
  2. J. Wang

Published Online: 15 JUL 2005

DOI: 10.1002/0470011815.b2a12035

Encyclopedia of Biostatistics

Encyclopedia of Biostatistics

How to Cite

Jones, B. and Wang, J. 2005. Lagged Dependent Variables. Encyclopedia of Biostatistics. 4.

Author Information

  1. De Montfort University, Leicester, UK

Publication History

  1. Published Online: 15 JUL 2005

Abstract

A regression model for longitudinal data may include the dependent variable, lagged by one or more time units, as an explanatory variable or variables, as in serial correlation, and may also involve covariates measured at one or more previous times. There may also be random subject effects. Methods of estimation are described.

Keywords:

  • longitudinal;
  • serial correlation;
  • autocorrelation;
  • covariate;
  • random effects;
  • instrumental;
  • consistency;
  • generalized linear model