Ed,
Are you looking for robust standard errors for the fixed effects
estimator? I'm guessing you are - I'm not sure that the random
effects IV estimators (EC2SLS and G2SLS) are consistent if the errors
are heteroskedastic.
If indeed it's IV with fixed effects, then you should be able simply
to transform your data into mean-deviation form and then run ivreg
(or ivreg2) with the robust option. I think Steve Stillman posting
something to Statalist along these lines some months ago. Perhaps
have a look in the Statalist archives.
Hope this helps.
Cheers,
Mark
From: Ed Levitas <[email protected]>
To: [email protected]
Subject: st: 2sls and robust standard errors
Date sent: Wed, 26 Feb 2003 11:38:23 -0600
Send reply to: [email protected]
> Statlisters,
>
> We are trying to estimate a model using xtivreg (2sls with panel data).
> Does anyone know how to calculate robust standard errors for the parameters
> estimated? We've looked at the _robust programming command but don't see
> how we could apply that to this scenario.
>
> Any help would be greatly appreciated.
>
> Thanks
> Ed
>
> ****************************************
> Edward Levitas, PhD
> Assistant Professor
> School of Business Administration
> University of Wisconsin-Milwaukee
> 3202 N. Maryland Ave.
> Milwaukee, WI 53211
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> fx: (414) 229-6957
> [email protected]
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Prof. Mark E. Schaffer
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