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re: st: 3SLS and HAC
From
Christopher Baum <[email protected]>
To
"[email protected]" <[email protected]>
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
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