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st: Quadratic Instrumental Variables


From   "Mayer Rosas, Claudia" <C.Mayer-Rosas@warwick.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Quadratic Instrumental Variables
Date   Sun, 10 Apr 2011 16:00:27 +0000

 Dear all,

I am using Stata 10 and have 2 questions for you.

1) Is it possible to use quadratic instrumental variables on Stata using the simple ivreg command?

My endogenous variable is government debt. It is determined by the following instruments:

gov_debt:gdp_growth+gdp_growth2+reserves 

Can I simply type ivreg depvar varlist ( gov_debt = gdp_growth gdp_growth2 reserves ) into Stata? Also, I have never come across studies which use quadratic instrumental variables, is there a reason why I shouldn't do it?

2) I am constructing a two way Least Squares Dummy Variables (LSDV1) model, with country and time effects. Is there any formula similar to vce(robust), which captures both autocorrelation and heteroscedasticity (ie. any formula for Newey West standard errors for this type of panel data model)?

Thank you for your time!

Claudia Rosas






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