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st: RE: RE: RE: autocorrelation and endogeneity
Yuluen,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Yu-Luen Ma
> Sent: 22 May 2008 23:01
> To: [email protected]
> Subject: st: RE: RE: autocorrelation and endogeneity
>
> Mark,
>
> Thanks for your response. I do have panel data but I use
> one-way fixed effects (only control for time) and thus ivreg2
> works. It sounds like the -cluster- will work for me.
And -xtivreg2- will save you the trouble of explicit dummies or
demeaning by hand.
Cheers,
Mark
> Yuluen
>
> ________________________________
>
> From: [email protected] on behalf of
> Schaffer, Mark E
> Sent: Thu 5/22/2008 4:49 PM
> To: [email protected]
> Subject: st: RE: autocorrelation and endogeneity
>
>
>
> Yuluen,
>
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]] On Behalf Of
> Yu-Luen Ma
> > Sent: 22 May 2008 22:26
> > To: [email protected]
> > Subject: st: autocorrelation and endogeneity
> >
> > I would like to run a model that correct for both endogeneity and
> > autocorrelation. Does the command ivreg2 with gmm2s robust
> cluster(id)
> > supports the estimation of autocorrelation-robust covariance matrix
> > and standard errors?
> > I assume that the combination of robust and cluster(id)
> does that. If
> > not, could anyone suggest a command that would correct for
> > autocorrelation? Thanks.
>
> -cluster- allow consistent estimation the presence of a very
> specific kind of autocorrelation. If you have panel data,
> and the observations within each panel are autocorrelated but
> independent across panels,
> -cluster- will give you consistent estimates.
>
> It sounds like this isn't what you want. If your application
> is straight time series, you can use -ivreg2- and a
> kernel-type var-cov estimator to get
> autocorrelation-consistent estimates. Have a look at the
> -bw- and -kernel- options.
>
> Cheers,
> Mark
>
> Prof. Mark Schaffer
> Department of Economics
> School of Management & Languages
> Heriot-Watt University
> Edinburgh EH14 4AS
> tel +44-131-451-3494 / fax +44-131-451-3296
> email: [email protected]
> web: http://www.sml.hw.ac.uk/ecomes
>
>
> >
> > Yuluen
> >
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> >
>
>
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> Heriot-Watt University is a Scottish charity registered under
> charity number SC000278.
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--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
*
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