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st: 2SLS with random effects correcting for autocorrelation


From   Helene Ehrhart <Helene.Ehrhart@u-clermont1.fr>
To   statalist@hsphsun2.harvard.edu
Subject   st: 2SLS with random effects correcting for autocorrelation
Date   Fri, 20 Mar 2009 09:35:31 +0100

Dear all,

I would like to estimate an equation with instrumental variables using
random effects and correcting for autocorrelation.
I already tried many ways to do that in stata but no command was able
to meet all the three requirements :

- xtivreg , re does not allow for autocorrelation correction
- xtivreg2 does not allow for random effects
- xtdata to transform data so that it corresponds to random effects
and then estimation with ivreg28 but then the option bw(1) is not
possible since the data are transformed
- estimating the first stage with xtreg ,re ; taking the predicted
dependant value and using it as regressors for the 2nd stage using
xtregar ,re which corrects for autocorrelation. This works but the
standard errors should then be corrected by bootstrapping to correct
the bias of using a predicted value as regressor. Unfortunately,
traditional bootstrap using a random sample does not maintain the
autocorrelation structure. So this method should also be eliminated.

If anyone already faced this problem, estimating in 2SLS with random
effects correcting for autocorrelation, I would really appreciate to
know what is the proper way to do that in Stata.

Thanks,

Hélène Ehrhart.



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