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Re: st: robust/clustered standard errors with ivprob/divprob
I'll venture a very incomplete reply...
If no one has responded, I think you will probably have to take
ivprob and change the code yourself.
And while you're at it, you might want to change the code a bit. I
was just looking at it, and noticed that a loop starting around line
30 generates fitted values and residuals, but they are created as
floats instead of doubles. I wonder if this could generate numerical
inaccuracy problems; doubles would be safer.
Date sent: Mon, 13 Sep 2004 11:14:52 -0400 (EDT)
From: Lisa Powell <email@example.com>
Subject: st: robust/clustered standard errors with ivprob/divprob
Send reply to: firstname.lastname@example.org
> Given the high traffic of discussion on isues related estimation with
> endogenous variables, I though that I would repost my question from
> last week in the hopes of receiving any replies.
> I am using ivprob and divprob and would like to correct the standard
> errors based on clustering. The cluster option is not available in
> these ado files files -- does anyone have any suggestions as to how I
> could estimate a dichotmous second stage with an endogenous regressor
> that is linear (hence a linear first stage) and cluster the st errors
> in the second stage?
> Has anyone adpated the ivprob/divprob program with the cluster option?
> Any help would be much appreciated!
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Prof. Mark E. Schaffer
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
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