st: Re: 2 way FE and serial correlation

[Kit Baum <baum@bc.edu>]

1) To use two-way fixed effects, use explicit dummies for the time  
dimension.

2) ivreg2 contains a superset of the capabilities of newey2, and  
xtivreg2 is a wrapper to provide one-way fixed effects (and first  
differences). xtivreg2 will let you calculate HAC ("Newey-West")  
errors in a fixed effects context. It estimates OLS with HAC standard  
errors as well as IV.

ssc install ivreg2
ssc install xtivreg2

and read the help files for those two programs.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Oct 14, 2006, at 2:33 AM, Ferhat  wrote:


> 2-)I want to correct for serial correlation with one way fixed  
> effect and I
> have seen the David Roodman's user-written -newey2 code but I dont  
> know how
> to install it to my STATA9 or at east how to use that code.I will  
> be happy
> if anyone can help me about that issue.
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