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Re: st: Newey West errors with panel data

From   "John A Karikari" <KarikariJ@GAO.GOV>
To   <>, <>
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

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

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

Thank you,
Stuti Khemani

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