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
>>> [email protected] 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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* For searches and help try:
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* http://www.ats.ucla.edu/stat/stata/
