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st: cluster option of ivreg2


From   Giovanni Pica <pica@socsci.soton.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: cluster option of ivreg2
Date   Fri, 6 May 2005 10:09:25 +0100

Dear Stata Users,

I have a problem with the cluster option of ivreg2.

I am running the following regression:

ivreg2 logw X P (T T*P = Z That*P), cluster(personid)

this is using IV in a difference in difference regression where T is the
treatment group, P is post-reform dummy and T*P is the interaction term of
interest.
The use of That*P as an instrument, where That is obtained from a fist stage
regression of T on the exogenous regressors (X and P) and the instruments Z,
has been already suggested in Stata list in another context (Mark Shaffer in
reply to Steve Morris):
http://www.stata.com/statalist/archive/2003-11/msg00795.html


The cluster(personid) is required because it's a panel of individual wages.


All this works when I use the ivreg command, when I use the ivreg2 command
it says "matrix not symmetric".

Is there something wrong with the use of IV in the diff-in-diff framework or
the difference between ivreg and ivreg2 is due to the the way the commands
handles the cluster option?

Best,
Giovanni




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