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st: autocorrelation and endogeneity


From   "Yu-Luen Ma" <yma@ilstu.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: autocorrelation and endogeneity
Date   Thu, 22 May 2008 16:25:38 -0500

I would like to run a model that correct for both endogeneity and autocorrelation. Does the command ivreg2 with gmm2s robust cluster(id) supports the estimation of autocorrelation-robust covariance matrix and standard errors? I assume that the combination of robust and cluster(id) does that. If not, could anyone suggest a command that would correct for autocorrelation? Thanks.
 
Yuluen

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