Hi all,
This might be a simple question but I could not find anything online and am hoping someone could help me understand. I am analyzing pooled TSCE data and thus need to use xtpcse to take care of heteroskedasticity and contemporaneous correlation ( and add Prais- Winsten transformation to address serial autocorrelation). I also want to use second and thirds moments of an endogenous variable as instruments and ivreg2h would allow that. Now I want to be able to use second and thirds moments to address endogenaity and be able to also address heteroskedasticity and contemporaneous correlation ( and add Prais- Winsten transformation to address serial autocorrelation). I read STATA book on the issue but it only discusses the two commands separately but it does not tell you how to address all the above issues. I also tried finding information online but was not very successful. I would appreciate any help.
Thanks,
Hovhannes
This might be a simple question but I could not find anything online and am hoping someone could help me understand. I am analyzing pooled TSCE data and thus need to use xtpcse to take care of heteroskedasticity and contemporaneous correlation ( and add Prais- Winsten transformation to address serial autocorrelation). I also want to use second and thirds moments of an endogenous variable as instruments and ivreg2h would allow that. Now I want to be able to use second and thirds moments to address endogenaity and be able to also address heteroskedasticity and contemporaneous correlation ( and add Prais- Winsten transformation to address serial autocorrelation). I read STATA book on the issue but it only discusses the two commands separately but it does not tell you how to address all the above issues. I also tried finding information online but was not very successful. I would appreciate any help.
Thanks,
Hovhannes
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