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st: RE: autocorrelation and endogeneity

From   "Schaffer, Mark E" <>
To   <>
Subject   st: RE: autocorrelation and endogeneity
Date   Thu, 22 May 2008 22:49:36 +0100


> -----Original Message-----
> From: 
> [] On Behalf Of Yu-Luen Ma
> Sent: 22 May 2008 22:26
> To:
> Subject: st: autocorrelation and endogeneity
> 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.

-cluster- allow consistent estimation the presence of a very specific
kind of autocorrelation.  If you have panel data, and the observations
within each panel are autocorrelated but independent across panels,
-cluster- will give you consistent estimates.

It sounds like this isn't what you want.  If your application is
straight time series, you can use -ivreg2- and a kernel-type var-cov
estimator to get autocorrelation-consistent estimates.  Have a look at
the -bw- and -kernel- options.


Prof. Mark Schaffer
Department of Economics
School of Management & Languages
Heriot-Watt University
Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296

> Yuluen
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