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Re: st: re: xtivreg2


From   Bulent Koksal <bkoksal@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: xtivreg2
Date   Thu, 7 Jul 2011 16:47:15 +0300

Hello Kit,

I have panel data for stocks and number of observations is more than
2000 for each stock.

WhenI used bw(auto) option in the ivreg2 for each stock, I got numbers
like 45 so I am using the same number in the panel version estimation.
Thanks for your answer.

b.

On Thu, Jul 7, 2011 at 16:35, Christopher Baum <kit.baum@bc.edu> wrote:
> <>
>  I have panel data and I estimate a model as follows:
>
> .xtivreg2 y1 x1 x2 (y2= l(1 2).y2), fe bw(45) robust
> Basically I would like to have HAC errors and I am also using
> instruments for y2.
>
> Assume that y2 is not endogoneous. If I estimate
>
> .xtivreg2 y1 x1 x2 y2 , fe bw(45) robust
> do I still get HAC errors in a panel framework? Thank you.
>
>
>
> Yes, but I hope you have well more than 45 time series observations in your panel if you're requesting bw(45).
>
> Kit
>
> Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
>                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
>   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html
>
>
>
>
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-- 
Bülent Köksal

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