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st: XTGLS & 2SLS
I'm estimating a "2SLS" procedure where the second stage uses XTGLS,
but the variance-covariance matrix of the 2SLS procedure would be
incorrect. I would appreciate advice on how to obtain the corrected
variance-covariance matrix for the XTGLS, preferably a program that can
perform the procedure. Thanks in advance.
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