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st: find the degree of autocorrelation and test autocorrelation when using xtivreg2-question about the option bw() for HAC?
From
Ken Ning <[email protected]>
To
[email protected]
Subject
st: find the degree of autocorrelation and test autocorrelation when using xtivreg2-question about the option bw() for HAC?
Date
Wed, 4 Sep 2013 18:06:23 +0100
Hello statausers
how do you find out the degree of autocorrelation and test
autocorrelation when using xtivreg2 --question about option bw() for
HAC?
three ealier posts
http://www.stata.com/statalist/archive/2013-01/msg01240.html
http://www.stata.com/statalist/archive/2012-03/msg00715.html
http://www.stata.com/statalist/archive/2011-02/msg01080.html
earlier this year, someone asked this and Mark said the bw(#) depends
on the degree of autocorrelation.
I am wondering how you test autocorrelation when using xtivreg2?
especially for 2sls estimation? and how you find out the degree of
autocorrelation?
Many thanks for your help in advance.
Ken
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