Rafa,
Quoting "R.E. De Hoyos" <[email protected]>:
> Has anyone written a module to correct for autocorrelation in an
> instrumental variables regression?
>
> Our data is actually a panel so if there is something out there for
> a panel it would be even more helpful.
>
> Thanks,
> Rafa
-ivreg2- (Baum-Schaffer-Stillman) can do IV/GMM estimation that handles
autocorrelation. You have a choice of kernels, and heteroskedasticity-
robust estimation if you want that too, and it can also do 2-step
efficient GMM if your equation is overidentified. It "understands" panel
data in the sense that it knows that the autocorrelation is within panels
and not across panels, but it doesn't go beyond that. If you want to
estimate with panel fixed effects, for example, you'd need to do it by
hand.
Hope this helps.
--Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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