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st: How can I correct ivreg2 coefficients for AR1?
My aim is to run 2sls regression with correction to auto-correlation AR(1).
But I could not find a command that corrects AR(1) after "ivreg" command
(the same way "prais" command does to a simple linear regression).
I heard that there is a user's command "ivreg2" that is able to do so, but I
am not sure I know how it works. I tried to correct my regression with the
bw(#) specification after ivreg2, but the coefficient did not change, only
the standart errors.
I tried the "gmm" specification, and this time the coefficients did change,
but I am not sure if the results are IV coefficients or GMM's.
Can you please direct me to the right answer?
thank you very much
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