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st: 3SLS and HAC SEs
From
Khabara <[email protected]>
To
[email protected]
Subject
st: 3SLS and HAC SEs
Date
Mon, 28 Mar 2011 08:56:58 -0700 (PDT)
Dear all,
How do I calculate HAC SEs in 3SLS? As far as I understand, if I do it "by
hand":
*reg y a1 a2 a3
*predict fitted_y
*reg z b1 b2 b3
*predict fitted_z
*ivreg2 w fitted_y fitted_z, kernel(tru) bw(12) robust,
my SEs from the third stage will be wrong as they will be calculated with
the wrong residuals.
Any suggestions on what might be the best way to proceed in this case?
Thank you.
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