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Re: st: cluster option of ivreg2


From   Giovanni Pica <pica@socsci.soton.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: cluster option of ivreg2
Date   Fri, 6 May 2005 11:39:05 +0100

It now works, thanks a lot Mark!

giovanni



Quoting Mark Schaffer <M.E.Schaffer@hw.ac.uk>:

> 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
> > >
> > >
> > -------------------------------------------------------------------
> > >
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> > >
> >
> >
> >
> > *
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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
>
> -------------------------------------------------------------------
> DISCLAIMER
>
> This message is subject to http://www.hw.ac.uk/disclaim.htm
>
> -------------------------------------------------------------------
>
> *
> *   For searches and help try:
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>



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