[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Re: IV estimation and AR errors

From   [email protected]
To   [email protected]
Subject   Re: st: Re: IV estimation and AR errors
Date   Mon, 20 Oct 2008 12:14:35 +1100

Many thanks for this.  Appreciate the 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   * [email protected]

             Kit Baum                                                           
             <[email protected]>                                                      
             Sent by:                                                        To 
             owner-statalist@hsp         [email protected]         
             10/18/2008 12:32 AM         st: Re: IV estimation and AR errors    
              Please respond to                                                 

< >
Rather than explicitly estimating the AR structure of the errors
(which is difficult in any case beyond AR(1)), use a HAC
(heteroskedasticity- and autocorrelation-consistent) estimator, a la
"Newey-West". You can do this with -ivreg2- (from SSC) or -ivregress-.

Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

On Oct 17, 2008, at 02:33 , Gaurav wrote:

> 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?

*   For searches and help try:

*   For searches and help try:

© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index