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Re: st: Re: IV estimation and AR errors


From   gdatt@worldbank.org
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: IV estimation and AR errors
Date   Mon, 20 Oct 2008 12:14:35 +1100

Many thanks for this.  Appreciate the 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
______________________________________________________________________


                                                                                
             Kit Baum                                                           
             <baum@bc.edu>                                                      
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                                                                        Subject 
             10/18/2008 12:32 AM         st: Re: IV estimation and AR errors    
                                                                                
                                                                                
              Please respond to                                                 
             statalist@hsphsun2.                                                
                 harvard.edu                                                    
                                                                                
                                                                                




< >
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
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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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