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Re: st: cluster option of ivreg2


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
> >
> >
> -------------------------------------------------------------------
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> >
> > 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:
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> *   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

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