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| From | Christopher Baum <kit.baum@bc.edu> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | re: st: 3SLS and HAC |
| Date | Mon, 28 Mar 2011 14:40:09 -0400 |
<> Khabara said 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? First of all, stop calling it 3SLS. It is not. It is standard 2SLS, estimation of a single equation. Second, just use the command you have there for -ivreg2- from SSC. Kit Baum | Boston College Economics and DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/