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st: Attempting to include higher- and lower-level clutering effects


From   "Clive Nicholas" <[email protected]>
To   [email protected]
Subject   st: Attempting to include higher- and lower-level clutering effects
Date   Fri, 14 Jan 2005 02:07:18 -0000 (GMT)

All,

With my own data, I'm able to control for higher-level clustering effects
by specfiying the -cluster()- option in addition to the lower-level
variable I specify in -absorb()- using -areg-. This is an extremely useful
facility to call upon.

For reasons presumably due to computational complexity, I can't do this
with -ivreg2-. From the -country- variable in the -garmit- panel dataset
of 18 countries that I have (available on request),

. tab country

    country |      Freq.     Percent        Cum.
------------+-----------------------------------
  Australia |         34        5.56        5.56
    Austria |         34        5.56       11.11
    Belgium |         34        5.56       16.67
     Canada |         34        5.56       22.22
    Denmark |         34        5.56       27.78
    Finland |         34        5.56       33.33
     France |         34        5.56       38.89
    Germany |         34        5.56       44.44
    Ireland |         34        5.56       50.00
      Italy |         34        5.56       55.56
      Japan |         34        5.56       61.11
Netherlands |         34        5.56       66.67
New Zealand |         34        5.56       72.22
     Norway |         34        5.56       77.78
     Sweden |         34        5.56       83.33
Switzerland |         34        5.56       88.89
         UK |         34        5.56       94.44
         US |         34        5.56      100.00
------------+-----------------------------------
      Total |        612      100.00

I created a dummy variable called -europe-, indicating whether or not a
country is European. This is an obviously crude higher-level clustering
effect, but it serves for the purpose below:

. ivreg2 growthpc trade fdi unem left spend captax labtax, bw(2)
cluster(europe) robust
cannot use HAC kernel estimator with -cluster- option
r(198);

. ivreg2 growthpc trade fdi unem left spend captax labtax, bw(2)
cluster(europe)
cannot use HAC kernel estimator with -cluster- option
r(198);

I can't see anything in the -ivreg2- help file that explains why these
combinations of options are illegal, so any help on this would be greatly
appreciated!

CLIVE NICHOLAS        |t: 0(044)7903 397793
Politics              |e: [email protected]
Newcastle University  |http://www.ncl.ac.uk/geps

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