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st: RE: RE: RE: autocorrelation and endogeneity


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: RE: autocorrelation and endogeneity
Date   Fri, 23 May 2008 00:33:31 +0100

Yuluen,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Yu-Luen Ma
> Sent: 22 May 2008 23:01
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: RE: autocorrelation and endogeneity
> 
> Mark,
>  
> Thanks for your response. I do have panel data but I use 
> one-way fixed effects (only control for time) and thus ivreg2 
> works. It sounds like the -cluster- will work for me. 

And -xtivreg2- will save you the trouble of explicit dummies or
demeaning by hand.

Cheers,
Mark

> Yuluen
>  
> ________________________________
> 
> From: owner-statalist@hsphsun2.harvard.edu on behalf of 
> Schaffer, Mark E
> Sent: Thu 5/22/2008 4:49 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: autocorrelation and endogeneity
> 
> 
> 
> Yuluen,
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Yu-Luen Ma
> > Sent: 22 May 2008 22:26
> > To: statalist@hsphsun2.harvard.edu
> > 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.
> 
> Cheers,
> Mark
> 
> 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
> email: m.e.schaffer@hw.ac.uk
> web: http://www.sml.hw.ac.uk/ecomes
> 
> 
> > 
> > Yuluen
> >
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> 
> 
> --
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> charity number SC000278.
> 
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-- 
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.


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