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st: using xtivreg2 for FE
From
Murod Aliyev <[email protected]>
To
[email protected]
Subject
st: using xtivreg2 for FE
Date
Sat, 19 Feb 2011 14:03:39 +0000 (GMT)
Dear all,
I want to estimate a simple FE model, but there may be heteroskedasticity and
autocorrelation. As far as I understand xtreg fe robust gives Huber-White
sandwich estimator, which deals with heteroskedasticity
only.
Can I use xtivreg2 with fe robust bw() options to get HAC (Het. and
autocorrelation consistent) standard errors. Of course, I will not specify any
instruments, as I want only FE estimation.
Thanks in advance!
Murod
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