Re: st: xtivreg, re: Autocorrelation & heteroscedasticity

[Sportökonomie <sportoekonomie@gmx.de>]

Dear Sergiy,

thanks for your response. I used the xtgls command as suggested in your 
link, while I was not controlling for endogeneity. However, I found out 
that I have to control for endogeneity and followed the suggestion to do 
this with Balestra & Varadharajan-Krishnakumar's (1987) 2SLS model with 
the xtivreg command.

So I can either control for endogeneity with the xtivreg command or I 
control for autocorrelation and heteroscedasticity with the xtgls 
command. However, I would like to control for all three options 
simultaneously.

Is there a command or workaround that is capable to do this? Did I 
misunderstand anything?

Thanks,
Marc


Am 12.11.2013 22:37, schrieb Sergiy Radyakin:
> Marc, see here:
> http://www.stata.com/support/faqs/statistics/panel-level-heteroskedasticity-and-autocorrelation/
> Best, Sergiy
>
> On Tue, Nov 12, 2013 at 4:10 PM, Sportökonomie <sportoekonomie@gmx.de> wrote:
> > Dear Statalist,
> >
> > I am working with a random effects panel regression including 200+
> > observations. My model does also include instrumental variables (xtivreg,
> > re).
> >
> > How can I (a) test, and (b) adjust my model for autocorrelation and
> > heteroscedasticity?
> >
> > Thanks in advance,
> >
> > Marc
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