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st: re: xtivreg2

From   Christopher Baum <>
To   "" <>
Subject   st: re: xtivreg2
Date   Thu, 7 Jul 2011 09:35:13 -0400

  I have panel data and I estimate a model as follows:

.xtivreg2 y1 x1 x2 (y2= l(1 2).y2), fe bw(45) robust
Basically I would like to have HAC errors and I am also using
instruments for y2.

Assume that y2 is not endogoneous. If I estimate

.xtivreg2 y1 x1 x2 y2 , fe bw(45) robust
do I still get HAC errors in a panel framework? Thank you.

Yes, but I hope you have well more than 45 time series observations in your panel if you're requesting bw(45).


Kit Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

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