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Re: st: Method for first stage, in xtivreg


From   "Daniel Schalling" <daniel.schalling@uni-weimar.de>
To   <statalist@hsphsun2.harvard.edu>
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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