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Re: st: Newey West errors with panel data


From   "John A Karikari" <KarikariJ@GAO.GOV>
To   <statalist@hsphsun2.harvard.edu>, <skhemani@worldbank.org>
Subject   Re: st: Newey West errors with panel data
Date   Thu, 26 Sep 2002 14:18:38 -0400

As an alternative to Newey West, if you do not have lagged dependent
variables in your model, you could use the XTGLS, which estimates
cross-sectional time-series models using the FGLS technique--it allows
estimation with AR(1) within panels and heteroscedasticity across
panels.

For the IV estimation, you could use a 2SLS approach with the XTGLS

>>> skhemani@worldbank.org 09/26/02 01:58PM >>>
I would very much appreciate receiving advice on how to estimate
Newey-West
standard errors in a panel data setting in Stata, and with
instrumental
variables (Stata command: IVREG) and three stage least squares (Stata
command:
REG3)

Thank you,
Stuti Khemani

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