Giovanni,
Quoting Giovanni Pica <[email protected]>:
> 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 Schaffer 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".
Have you updated your ivreg2 so that it's the latest available?
There was a bug in earlier versions that resulted from Stata's matrix
mulitiplication. The matrix inversion command requires a symmetric matrix,
and very occasionally (I think because of numerical issues) ivreg2 would
multiply a series of matrices and end up with a matrix that should have been
symmetric but wasn't. I am pretty sure we fixed all the instances of where
this could arise in ivreg2, but maybe we missed one.
--Mark
> 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
>
>
>
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
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: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
-------------------------------------------------------------------
DISCLAIMER
This message is subject to http://www.hw.ac.uk/disclaim.htm
-------------------------------------------------------------------
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
