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st: xtivreg,re - heteroscedastic and autocorrelation consistent standard errors
From
"Daniel Schalling" <[email protected]>
To
<[email protected]>
Subject
st: xtivreg,re - heteroscedastic and autocorrelation consistent standard errors
Date
Wed, 7 Dec 2011 10:43:20 +0100
Dear Statalis,
I did a xtivreg,re with 75 groups, 60 time intervals (days), 90 exogenous
variables and 1 endogenous variable with 1 instrument.
How is it possible to get heteroscedastic and autocorrelation consistent
(HAC) standart errors in such a model?
As far as I found out I could get at least heteroscedastic consistent
standard errors if I use - xtoverid2, robust noi - after xtivreg, re.
Thanks for any suggestion,
Daniel
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