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Re: st: IVREG2 and AR(1) Correction


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, John A Karikari <KarikariJ@gao.gov>
Subject   Re: st: IVREG2 and AR(1) Correction
Date   Mon, 01 Dec 2003 21:53:50 +0000 (GMT)

John,

We have a version of ivreg2 that handles autocorrelation and panels.  It's 
waiting for a few tweaks before it goes out (promised to the list a while 
ago ... apologies, Listers).  If you contact me off-list I can send you a 
working version.

--Mark

Quoting John A Karikari <KarikariJ@gao.gov>:

> I am using the IVREG2 procedure to estimate a panel model with
> instruments and clusters.  The procedure does not have an AR(1)
> correction, but test indicates that the residuals are AR(1).  I'll
> appreciate any insights.  Thanks in advance.
> 
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> 



Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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