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findit ivreg2

and follow the links.

Cheers,
Mark (ivreg2 co-author)


Quoting Scott Imberman <Imberman@econ.bsos.umd.edu>:

> Hello all.  I have a question regarding the ivreg command in stata
> 8. 
> I'm trying to do an iv regression with robust standard errors and
> clustering.  I noticed that when you use the cluster option in
> ivreg,
> Stata only clusters the standard errors in the second stage and
> leaves
> the first stage without clustering.  Is there some way to get stata
> to
> cluster in the first stage as well?  Thanks.
> 
> Scott Imberman
> 
> 
> -------------------------------------------------------------------
> Scott Andrew Imberman
> 
> Department of Economics
> 3105 Tydings Hall, University of Maryland
> College Park, MD 20742
> Voice: (301) 405-4534
> Fax: (301) 405-3542
> 
> imberman@econ.umd.edu
> 
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> 



Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes

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