Good Morning,
I'm implementing the xtivreg command using bootstrap for variance estimators as I suspect there is autocorrelation in my data. However, the code does not return the first stage estimation and the weak instrument test.
I tried to use ivreg2 with dummy varibles and weakivtest after it to test for a weak instrument. However, to take into account of autocorrelation in the error term, the degree of autocorrelation is required and I would prefer not to make assumptions on it.
Any suggestion on how to solve this issue?
Many Thanks
I'm implementing the xtivreg command using bootstrap for variance estimators as I suspect there is autocorrelation in my data. However, the code does not return the first stage estimation and the weak instrument test.
I tried to use ivreg2 with dummy varibles and weakivtest after it to test for a weak instrument. However, to take into account of autocorrelation in the error term, the degree of autocorrelation is required and I would prefer not to make assumptions on it.
Any suggestion on how to solve this issue?
Many Thanks
