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Re: st: re: testing autocorrelation in the FEIV model


From   ahmed al-darwish <dar_ahmed@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: testing autocorrelation in the FEIV model
Date   Sun, 10 Feb 2008 14:15:36 -0800 (PST)

No Problem at all. I have used xtiverg2 with HAC
option to do my estimations. But I was wondering if I
can test for the autocorrelation. Since it seems there
might be no choice , I think I will stick to my
results with HAC-xtivreg2.
Thank you very much;Kit. Anyway, it was really helpful
to know that -ivactes- test for time-series case.
Many thanks again.
Ahmed

--- Kit Baum <baum@bc.edu> wrote:

> 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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