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Re: st: autocorrelation and IV regression using panel data


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, "R.E. De Hoyos" <redeho2@hotmail.com>
Subject   Re: st: autocorrelation and IV regression using panel data
Date   Tue, 18 May 2004 12:03:10 +0100 (BST)

Rafa,

Quoting "R.E. De Hoyos" <redeho2@hotmail.com>:

> Has anyone written a module to correct for autocorrelation in an
> instrumental variables regression?
> 
> Our data is actually a panel so if there is something out there for
> a panel it would be even more helpful.
> 
> Thanks,
> Rafa

-ivreg2- (Baum-Schaffer-Stillman) can do IV/GMM estimation that handles 
autocorrelation.  You have a choice of kernels, and heteroskedasticity-
robust estimation if you want that too, and it can also do 2-step 
efficient GMM if your equation is overidentified.  It "understands" panel 
data in the sense that it knows that the autocorrelation is within panels 
and not across panels, but it doesn't go beyond that.  If you want to 
estimate with panel fixed effects, for example, you'd need to do it by 
hand.

Hope this helps.

--Mark

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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