This can be difficult for your dog to comprehend from other commands. Teaching your dog to "sit" is asking him/her to take a specific action. Here you are asking your dog to do nothing, but to hold still in it's current position.
Teaching The Stay Command
You want to combine stay with another command, such as sit or down. Start with sit. When your dog is sitting, don't praise immediately, but tell him/her "stay." You'll be using the same brisk tone you use to give your dog the sit, stand and down command, so he/she knows you're asking it to do something, but he/she doesn't know what. Odds are he/she will sit there and look at you. After just a few seconds of holding the sit, praise your dog with a treat.
With stay, you should use a release word before you praise, to let the dog know he/she is done. Most trainers use "okay." At the end of a successful stay, say, "Okay! Good boy/girl!"
If he/she breaks the sit, put him/her into sit again, tell him/her stay again, and release and praise after a few seconds of sitting. Remember, make the stay for a very short period when you start, because you want your dog to be doing the correct thing so you can praise and reward him/her. It won't take long before your dog realizes that holding still and keeping in a sit is what you want.
Now start inching further away from him/her while your dog stays, and making the stay longer. You should be able to work up to a minute stay. Then begin combining stay with the down command, and follow the same procedure as with the sit-stay. Give the command, and release and praise within a few seconds, gradually increasing the time and your distance from the dog.
If you've followed these steps, you have a dog with a good basic grounding in obedience training. Now you'll want to take him/her out into the wider world and continue on with training. You can sign up for obedience class, and investigate other interesting fields for a trained dog, such as retrieving and agility.
Derrick Madison has two wonderful dogs, and shares his dog training methods on his blog. For more information on dog training techniques, and how to deal with problem dog behavior, you can visit his blog at: Dog Behavior Training 101
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