Hi,
I am trying to estimate a model with AR disturbances but which contains some
endogenous variables that I want to instrument. In other words, what I am
looking for IV estimation with AR error terms. ivreg does not seem to allow for
AR errors and arima does not allow for instrumental variables.
How do I do that in Stata?
Many thanks for your help.
Gaurav
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Gaurav Datt
Poverty Reduction and Economic Management Unit
East Asia and the Pacific Region
World Bank, Level 19, 14 Martin Place, Sydney, NSW 2000, Australia
' + 61 2 9235 6533 7 + 61 9223 9903 * [email protected]
______________________________________________________________________
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