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st: xtivreg,re - HAC se


From   "Daniel Schalling" <daniel.schalling@uni-weimar.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: xtivreg,re - HAC se
Date   Mon, 5 Dec 2011 19:16:51 +0100

Hi Statalis,

sorry for flooding the Statalist with e-mails.

I did a xtivreg,re with 75 groups, 60 time intervals (days), 90 exogenous
variables and 1 endogenous variable with 1 instrument. After estimating the
model I detected autocorrelation. 

How is it possible to get HAC standart errors in such a model?
As far as I found out I could get at least heteroskedasticity corrected se
if I use - xtoverid2, robust noi - after xtivreg, re.

Thanks for any suggestion,
Daniel.


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