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From |
Kit Baum <BAUM@BC.EDU> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: re: ivreg2 2sls, gmm2s and autocorrelation test |

Date |
Wed, 22 Oct 2008 10:01:18 -0400 |

< > Marie-Helene said

have a few very simple questions:

is best: 2SLS H robust or GMM2S H robust? what would you do? 2). to test for AC after that, what would you use: ivactest or abar?

In this example, ça ne fait rien: use http://fmwww.bc.edu/ec-p/data/wooldridge/phillips.dta tsset year, yearly ivreg2 cinf (unem = L(1/2).unem), bw(3) kernel(bartlett) robust abar, lags(6) ivactest, s(6) ivreg2 cinf (unem = L(1/2).unem), bw(3) kernel(bartlett) robust gmm2s abar, lags(6) ivactest, s(6)

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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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