Many thanks for this. Appreciate the help.
Gaurav
______________________________________________________________________
Gaurav Datt
Poverty Reduction and Economic Management Unit
East Asia and the Pacific Region
World Bank, Level 19, 14 Martin Place, Sydney, NSW 2000, Australia
' + 61 2 9235 6533 7 + 61 9223 9903 * [email protected]
______________________________________________________________________
Kit Baum
<[email protected]>
Sent by: To
owner-statalist@hsp [email protected]
hsun2.harvard.edu cc
Subject
10/18/2008 12:32 AM st: Re: IV estimation and AR errors
Please respond to
statalist@hsphsun2.
harvard.edu
< >
Rather than explicitly estimating the AR structure of the errors
(which is difficult in any case beyond AR(1)), use a HAC
(heteroskedasticity- and autocorrelation-consistent) estimator, a la
"Newey-West". You can do this with -ivreg2- (from SSC) or -ivregress-.
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
On Oct 17, 2008, at 02:33 , Gaurav wrote:
> I am trying to estimate a model with AR disturbances but which
> contains some
> endogenous variables that I want to instrument. In other words,
> what I am
> looking for IV estimation with AR error terms. ivreg does not seem
> to allow for
> AR errors and arima does not allow for instrumental variables.
>
> How do I do that in Stata?
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