STATA: Generating a bunch of lagged variables

This small blog post is just a note on how to create a bunch of lagged variables using a simple forvalues loop.

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* this gives you a list of your variables
foreach varname in varlist qqq - zzz {
* this says to generate lagged variables for all variables in the
* variable list between qqq and zzz
  forvalues i=1/9 {
  *generate 9 lagged values for each
     by date, sort: gen lag`i'`varname'=`varname'[_n-`i']
  }
}

so, if you have variables 10 varaibles between qqq and zzz inclusive, this script will generate 9 lagged variables for each.