Mark Dincecco wrote:
> Thanks, Clive. I take it that bw(2) and not bw(1) must be used to
> model an AR1 process.
Using -ivreg2- with the options I stated gives you a lagged OLS model
with an AR1 error process.
> The only difference I see between ivreg and
> newey is that ivreg makes the "small" adjustment for the degrees of
> freedom. But neither approach addresses the issue of contemporaneously
> correlated errors, right?
I thought I'd said that, albeit in a roundabout way, last time out. I
have no more to contribute to this thread, but other listees may be
able to address this particular concern in a Stata context and in more
detail.
--
Clive Nicholas
[Please DO NOT mail me personally here, but at
<[email protected]>. Thanks!]
"Courage is going from failure to failure without losing enthusiasm."
-- Winston Churchill
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