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st: RE: Hausman-Taylor and Autocorrelation
From
"Wooldridge, Jeffrey" <[email protected]>
To
<[email protected]>
Subject
st: RE: Hausman-Taylor and Autocorrelation
Date
Mon, 7 Mar 2011 06:42:54 -0500
Actually, autocorrelation does not cause inconsistency in the betahats.
The Hausman-Taylor estimator is a generalized IV estimator and, like
GLS, it is consistent even if the second moments are misspecified. Of
course, the instruments need to be strictly exogenous.
The main issue is how to obtain robust standard errors for the
Hausman-Taylor approach. It can be programmed in Stata without too much
trouble, but there is a way to use Stata commands, too. Obtain the
quasi-demeaned data using theta (just as with random effects) and then
use ivreg on the pooled, quasi-demeaned data. Clustering at the id level
then produces valid standard errors.
I discuss this in 2e of my MIT Press book.
JW
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of May Ster
Sent: Sunday, March 06, 2011 8:13 PM
To: [email protected]
Subject: st: Hausman-Taylor and Autocorrelation
Dear all,
Under the panel framework,I've used the Hausman-Taylor as an
estimator. However, i can't find the way to check whether there's
autocorrelation in residual after using -xthtaylor-.
If i'm not wrong, if autocorrelation is the case here, the estimates
i've obtained so far are not consistent. And, i have to find a way to
tackle that later.
Please help. Thanks.
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