I am running my baseline regressions using OLS method with Petersen (2009) two-dimensional clustered robust standard errors at firm level and year level. "This is a robust method and adjust standard errors for potential heteroscedasticity, cross-sectional and time-series dependence thus improving the accuracy of our estimates". my code is as follows:
ivreg2 depvar indepvar , cluster(firmID Time)
Now , I intend to run 2SLS regression with some exogenous instruments to mitigate endogeneity. Is it possible to adjust standard errors of my 2SLS regression in the same way as above? More specifically I want my SE to be adjusted for potential heteroscedasticity, cross-sectional and time-series dependence similar to Petersen (2009) approach as above. Thanks.
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