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st: How to correct for autocorrealation in system of equations
From
ABDUL ADAM <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: How to correct for autocorrealation in system of equations
Date
Thu, 30 Jun 2011 10:30:23 -0700 (PDT)
Dear List,
I am estimating an Almost Ideal Demand System in stata by using interactive nlsur. I found high dependency/autocorrelation of the error terms of my equations.
I wanted to correct standard errors for both Heteroskedasticity and Autocorrelation (HAC). I can easily do this for single equations by using newey command, but couldnt figure out how to proceed in the case of system of equations. I have searched the net for solution in stata to no avail. I will appreciate any help.
Thanks,
Abdul
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