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Re: st: Method for first stage, in xtivreg
From
"Daniel Schalling" <[email protected]>
To
<[email protected]>
Subject
Re: st: Method for first stage, in xtivreg
Date
Mon, 12 Dec 2011 15:24:04 +0100
Thanks Kit for your thoughts and insights.
The time variable in my time series panel estimation is from a 60-day
observation, so "real" autocorrelation is likely, due to the short time
interval of one day.
Do you see any other possibility to include an instrumental variable in a
panel estimation with autocorrelation (in xtregar,re)?
If not, I will use cluster-robust VCE to deal with the problem. Thanks for
this clue and your explanations around my issues.
Daniel.
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