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st: 2sls with contemporaneous standard errors


From   ariedl@wu-wien.ac.at
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: 2sls with contemporaneous standard errors
Date   Tue, 03 Jul 2007 13:37:34 +0200

Hi,

I want to estimate a panel model (fe) with t>n and want to control for
contemporaneous correlation via GLS (and for serial correlation within
groups). Moreover, I  have two endogenous regressors. If I make 2sls by hand
via xtgls with the option panel(correlated), I will get biased standard
errors. If I make 2sls with ivreg or ivreg2 I cannot control for
contemporaneous correlation. Does anyone know how to handle this proplem in
Stata?

Thanks!
Aleksandra Riedl

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