Hello - further to my earlier posting, here are more details:
I'm doing IV estimation with data that are I(1). According to theory,
OLS is consistent, but biased.
In the literature, an estimator correcting for the bias is called the
"Phillips-Hansen estimator". [It's developed in P. Phillips and B.
Hansen, Statistical Inference in Instrumental Variables Regression with
I(1) Processes, Review of Econ Studies, 57(1), Jan 1990]
As far as I can see, this estimator is rather well-known, and authors
just write that their derived Phillips-Hansen estimator is
such-and-such. (Much like authors just refer to "Newey-West", etc.)
However, I can't seem to obtain the Phillips-Hansen estimator through
STATA. Does anyone know if it can be obtain through STATA, and if so,
what the commands are please?
Many thanks, Elaine Tan
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