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Re: st: symultaneous system estimation with serial correlation


From   [email protected]
To   [email protected]
Subject   Re: st: symultaneous system estimation with serial correlation
Date   Sun, 17 Jun 2007 18:59:59 +0200

You can cluster on the id variable.
See more on correcting the standard errors for panel data (unfortunately, only one-stage and one-equation models are discussed) at  
http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/se_programming.htm
Nicola

At 02.33 15/06/2007 -0400, "John Wiley" wrote:
>dear statalisters,
>i need to jointly estimate a simultaneous system of equations on panel
>data with a long time series dimension.
>my problem is that i need to correct for error serial correlations and
>as far as i understand this cannot be done under the 3sls "reg3"
>command.
>
>the command "ivreg2" would be useful, but it seems it can only applied
>in a single equation setting.
>
>is there a way to estimate a system of equation correcting for error
>serial correlation?
>
>many thanks for your help,
>
>john
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