Hi,
I want to estimate a panel model (fe) with t>n and want to control for
contemporaneous correlation via GLS (and for serial correlation within
groups). Moreover, I have two endogenous regressors. If I make 2sls by hand
via xtgls with the option panel(correlated), I will get biased standard
errors. If I make 2sls with ivreg or ivreg2 I cannot control for
contemporaneous correlation. Does anyone know how to handle this proplem in
Stata?
Thanks!
Aleksandra Riedl
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