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st: xtivreg,re - heteroscedastic and autocorrelation consistent standard errors


From   "Daniel Schalling" <daniel.schalling@uni-weimar.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: xtivreg,re - heteroscedastic and autocorrelation consistent standard errors
Date   Wed, 7 Dec 2011 10:43:20 +0100

Dear Statalis,

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

How is it possible to get heteroscedastic and autocorrelation consistent
(HAC) standart errors in such a model?
As far as I found out I could get at least heteroscedastic consistent
standard errors if I use - xtoverid2, robust noi - after xtivreg, re.

Thanks for any suggestion,
Daniel
 


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