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st: re: testing autocorrelation in the FEIV model


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: testing autocorrelation in the FEIV model
Date   Sun, 10 Feb 2008 13:40:49 -0500

Please disregard my prior message re -ivactest-. It will not work in a panel context. It is unclear what you mean by testing for autocorrelation in a panel context, as each unit of the panel could have a separate autocorrelation structure (a la -xtgls-). Your best approach might be to use -xtivreg2- and apply HAC ("Newey-West") standard errors to your FE-XTIV estimates.

Kit

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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