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Re: st: F-statistic on ivreg2 vs ivreg with clustering
Which version of ivreg2 are you using? The latest is 2.0.06, and I
couldn't reproduce your problem using it with the auto dataset.
If updating doesn't solve your problem, then contact me off-list and
we'll see if we can trace what's happening.
Date sent: Wed, 18 May 2005 00:01:49 -0400
From: Robert Duval <firstname.lastname@example.org>
Subject: st: F-statistic on ivreg2 vs ivreg with clustering
Send reply to: email@example.com
> Dear all,
> When I run the ivreg2 command with the "robust cluster()" options
> (without the gmm option) I get a different Fstatistic than the one I
> get with ivreg. Can anybody explain why?
> In particular when I run
> ivreg Dearn15 (rearn=age age2 eduyr eduyr2 sexo cavern) if filtro1==1,
> robust cluster(clust)
> I get an F( 1, 615) = 11.13
> Prob > F = 0.0009
> While if I do
> ivreg2 Dearn15 (rearn=age age2 eduyr eduyr2 sexo cavern) if
> filtro1==1, robust cluster(clust)
> I get an F( 1, 614) = 1.60
> Prob > F = 0.2068
> I checked that this only occurs when the option "cluster" is included,
> otherwise the output is the same under both commands.
> This is not the result of gmm (because I didn't specify that option),
> nor the result of any small sample correction.
> If anybody with knowledge of ivreg2 can help me out why the output is
> different under these commands I would greatly appreciate it.
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
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> * http://www.ats.ucla.edu/stat/stata/
Prof. Mark E. Schaffer
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3485 CERT administrator
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