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st: How can I correct ivreg2 coefficients for AR1?


From   "adam dvir" <adamdvir@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: How can I correct ivreg2 coefficients for AR1?
Date   Wed, 13 Sep 2006 03:10:03 -0400

Dear all,

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

Adam Dvir

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