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st: IV panel regressoin using newey west standard errors...


From   signe@krogstrup.com
To   statalist@hsphsun2.harvard.edu
Subject   st: IV panel regressoin using newey west standard errors...
Date   Wed, 02 Jun 2004 15:19:07 +0200

Hi, I would like to estimate an unbalanced panel regression model using
instrumental variables AND using panel corrected standard errors to take
into account that the disturbances may be heteroskedastic and
contemporaneously correlated across panels. The xtivreg does not seem to
allow for this. Did someone out there need to do this, who has a good
suggestion as to how to do it?

Thanks a lot in advance!
Signe

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