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st: IV estimation with AR errors

Subject   st: IV estimation with AR errors
Date   Fri, 17 Oct 2008 16:13:50 +1100


I am trying to estimate a model with AR disturbances but which contains some
endogenous variables that I want to instrument.  In other words, what I am
looking for IV estimation with AR error terms. ivreg does not seem to allow for
AR errors and arima does not allow for instrumental variables.

How do I do that in Stata?

Many thanks for your help.

 Gaurav Datt
 Poverty Reduction and Economic Management Unit
 East Asia and the Pacific Region
 World Bank, Level 19, 14 Martin Place, Sydney, NSW 2000, Australia
' + 61 2 9235 6533    7 + 61 9223 9903   *

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