Andrea Molinari wrote:
> I am trying to estimate a fixed effects model with heteroscedasticity and
> serially correlated corrected standard errors. I am currently using
> -newey2- and including the fixed effects as dummies, but I thought that
> maybe STATA has a safer (as some of the dummies get dropped on the
way, > changing the interpretation of other dummies in the model) and
more
> efficient way (it takes me quite a while to estimate each specification).
[...]
You show no output, which hinders us from giving you any proper help. I
would suggest trying Baum/Schaffer/Stillman's -ivreg2- with the -bw(2)-,
-robust- and -small- options switched on and see what happens.
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