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From |
Mark Schaffer <M.E.Schaffer@hw.ac.uk> |

To |
statalist@hsphsun2.harvard.edu, Giovanni Pica <pica@socsci.soton.ac.uk> |

Subject |
Re: st: cluster option of ivreg2 |

Date |
Fri, 06 May 2005 11:06:49 +0100 (BST) |

Giovanni, Quoting Giovanni Pica <pica@socsci.soton.ac.uk>: > Mark, > > thanks for your quick reply. I updated ivreg2 yesterday and have the > "ivreg2 1.0.27 02Nov2002" version. Is this the latest? Something has gone wrong with your update. I just tried reinstalling it from SSC/RePEC, and the version that was installed is 2.0.06 26Jul2004. Did you perhaps install an old Stata Journal version? Try findit ivreg2 and then install the version from http://fmwww.bc.edu/RePEc/bocode/i Cheers, Mark > Let me just add that the error message "matrix not symmetric" > appears not > only with the cluster option but also with the robust and gmm > options. > Everything works fine with no options. > > Thanks again, > giovanni > > > > > > > > Quoting Mark Schaffer <M.E.Schaffer@hw.ac.uk>: > > > Giovanni, > > > > Quoting Giovanni Pica <pica@socsci.soton.ac.uk>: > > > > > 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: m.e.schaffer@hw.ac.uk > > 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/ > > > > > > * > * 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: m.e.schaffer@hw.ac.uk 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/

**Follow-Ups**:**Re: st: cluster option of ivreg2***From:*Giovanni Pica <pica@socsci.soton.ac.uk>

**References**:**st: cluster option of ivreg2***From:*Giovanni Pica <pica@socsci.soton.ac.uk>

**Re: st: cluster option of ivreg2***From:*Mark Schaffer <M.E.Schaffer@hw.ac.uk>

**Re: st: cluster option of ivreg2***From:*Giovanni Pica <pica@socsci.soton.ac.uk>

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