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st: Re: IV estimation and AR errors

From   Kit Baum <>
Subject   st: Re: IV estimation and AR errors
Date   Fri, 17 Oct 2008 09:32:23 -0400

< >
Rather than explicitly estimating the AR structure of the errors (which is difficult in any case beyond AR(1)), use a HAC (heteroskedasticity- and autocorrelation-consistent) estimator, a la "Newey-West". You can do this with -ivreg2- (from SSC) or -ivregress-.

Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

On Oct 17, 2008, at 02:33 , Gaurav wrote:

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?

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