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st: Re: 2 way FE and serial correlation
1) To use two-way fixed effects, use explicit dummies for the time
2) ivreg2 contains a superset of the capabilities of newey2, and
xtivreg2 is a wrapper to provide one-way fixed effects (and first
differences). xtivreg2 will let you calculate HAC ("Newey-West")
errors in a fixed effects context. It estimates OLS with HAC standard
errors as well as IV.
ssc install ivreg2
ssc install xtivreg2
and read the help files for those two programs.
Kit Baum, Boston College Economics
An Introduction to Modern Econometrics Using Stata:
On Oct 14, 2006, at 2:33 AM, Ferhat wrote:
2-)I want to correct for serial correlation with one way fixed
effect and I
have seen the David Roodman's user-written -newey2 code but I dont
to install it to my STATA9 or at east how to use that code.I will
if anyone can help me about that issue.
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