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st: IV estimation with AR errors


From   gdatt@worldbank.org
To   statalist@hsphsun2.harvard.edu
Subject   st: IV estimation with AR errors
Date   Fri, 17 Oct 2008 16:13:50 +1100

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
______________________________________________________________________
 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   * gdatt@worldbank.org
______________________________________________________________________


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